Definitely to build a bit of suspense/foreshadowing/tension.
I don't think they are hiding from us, rather giving us some space to try to figure out/deal with what just happened (both Minfilia and Nidhogg). I'd bet Thancred is definitely shadowing the WoD to try to figure out why he's just watching the end of the Dragonsong War rather than helping either side (and may need alone time as well to try to come to terms with Minfilia). Krile and Y'shtola are probably hunting down leads from Matoya or maybe trying to call in some favors in regards to Echo research.
