Re: [WHY ARE WE HERE]
Then we make back-up plans. But Mirror has to be dealt with, and if Monoceros is right, she has to be dealt with soon, or she's going to be bringing her murder and torture and mind-games to a new world, too.
...as for King's ego, we already have a precedent for it overriding his paranoia, don't we? Trickster met an untimely end and was swept neatly under the rug.