"You wound me."
Why would she want to leave, and potentially miss something she hasn't seen before? The Nexus seems to be the only place to consistently pull little stunts like this, and she isn't interested in missing it.
Besides, it's only heat. Perhaps mild chance of explosion.
Without some much as a twitch from Feia, a frosty rime begins spreading across her body and dress, the temperature in her immediate air space dropping like a rock. A wonderful little heat sink.
One hand may be be producing an ornately filled circle glyph however, likely something to cover the small chance of explosion.
Or maybe to ensure her dress doesn't catch on fire. No need for Edijar to have a naked sorceress hanging around.