The ice pathway was a trap, the insect gods were already there waiting for them. Heading for the ice pathway was no different than dying.
But if they couldn't escape from there, then they could only fly out of the insect planet.
However, to fly out of the insect planet, they would have to face directly with the Pure Yang lightning zone in the atmosphere. But without cultivating the Yuan Shen into a Pure Yang state, none of them could ever survive through the lightning zone.
When Zhong Yue was breaking through the Heavenly Dharma level, his Yuan Shen has flew into the Pure Yang lightning zone and played the lightnings before. However, that doesn't mean he could survive through the Pure Yang lightning zone, his mortal body surely wouldn't be able to endure the lightning strikes.
If the only two ways to leave wouldn't work, they could only remain in the insect planet.
Even if they could hide from the insect experts now, could they ever hide forever?