For Jeanne, "running away" is considered a highly risky choice with almost no benefit.
Why did Jeanne come to the City of Ur?
Because while searching for the Six Dragons Sect in the Space City of Zion, she accidentally found a merchant collaborating with the "bastard" mentioned by Xiang Shan.
Before that, Jeanne was investigating the Six Dragons Sect in the Space City of Chaldea, seeking the truth about past events. She went to Zion because she got related clues in Chaldea.
The Six Dragons Sect also exists in Chaldea.
From this perspective, the City of Ur might be safer than Chaldea. At least in Ur, the strongest force of the Six Dragons Sect has been exposed. However, the strength of the Six Dragons Sect in Chaldea is still unknown.
There is definitely intelligence exchange within the Six Dragons Sect. When Xiang Shan took out that roll of nanowire to escape, it was already decided that the Six Dragons Sect would focus more attention on her.
