I think you missed a point here, they didn't flee to the Black Shroud at all - the fled to Black Brush Station - I.E Central Thanalan - Which is just north of the Excavation site the MC appears from. They were no where near Gridania.
Hiding in a neighbouring state wouldn't be a good idea either, suddenly driving a wedge between one state and its unstable neighbour wouldn't be the smartest move at a time of political unrest. Ishgard, as mentioned in many cut-scenes and specifically brought up in the ending cut scene, is famed for its inhospitable nature and open suspicion of outsiders. Ishgardians denying entry and investigation into their sovereign lands would not rouse suspicion, Limsa and Gridania might and it may put strain on an alliance that still needs to stand against outside threats regardless of the troubles that plague it internally. Ishgard isn't yet a formal part of this alliance.
I liked the Story line, it actually made me want to go back and re-play the MQ since I skipped a lot of the cutscenes. There are points in the CS's where you have to remove yourself from the altruistic all seeing player perspective and see only what your character sees. Was it foolish to keep hold of the bottle your character found? Yes. Did the character have any reason to suspect it could be used in a plot to frame him/her? No, not without seeing what we as players see in Cutscenes completely disconnected from the MC.
It was nice to see Alphinaud get his dose of reality. I do hope this experience will drive the MC to make more measured decisions moving forward, I hope it acts as a catalyst separating our Nodding dog nature from the story line and introduces a more proactive involvement with the calls being made by the scions/MQ quest givers moving forward -even if it's totally scripted or leads to the same end result, my characters neck aches from nodding so much.
Agreed, I like the ambiguity. I don't personally think the Urianger would side with the Ascians - Even one who may be at odds with the order, though he may enter into a temporary alliance for neutral reasons that further both agendas, whatever they may be. His previous displays of skill with magical arts certainly lead me to believe that unlike Thancred, Urianger could effectively stave off influence from Ascians so I really don't see SE repeating that plot device. Or at least I hope they wont.