I can think of variety of reasons.

1) You need to be attuned to Aetherytes to teleport to them. While it is possible to teleport to unattuned aetheryte it is very taxing and you need an outside source to help (see: Titan and Shiva/2.4 Story). Which leaves one (or more) scion(s) behind.

2) Even if they could teleport they didn't know at the time that time if it was safe. All aetherytes have guards they didn't know who was on their side. For all they knew they could have been teleporting into a trap.

3) Teleporting takes time to cast so in the time it takes they could have ended up getting subdued. Running was the better option.