Lilith falls in behind Anna, also using her powers of Obfuscation to blend with the shadows and the crowd. At this point she wasn't even sure why she was still here, she'd helped kill the Sheriff after all. What more could be reasonable expected as a matter of her proof to the new regime? She could slink away and only a few would mark her passing.
Why was she going back in? She asked herself that as they crossed the threshold of the Prince's domain. Ultimately, as scared as she was, she wanted to see how it all played out for herself.