Have you ever had an idea that you went through with even though you knew it was a bad idea? That was kind of how Laz was feeling as he walked up the stairs. Sure, he didn't want to leave those girls stranded down here. It wasn't like he was going to be able to call the police to tell them that the mayor's son had a hidden room under his house in which he kept girls prisoner, right? No sane person would believe that. As such, Laz knew he was the only chance these girls had of being freed. But there was a far more important reason he did it.
Leona had asked him to.
We've all been there. When that girl who has a place in your heart ask you for something, you do your damnest to make her request come true. It's just the way it is. Obviously those request didn't normally include mortal danger, but there is always the exception.
