Infiltrating the home of devils to steal information was different from sneaking into the homes of the other races. The last time Shen Yanxiao saw Satan, his words made her very uneasy. Shen Siyu had only set up a one-way seal. Satan had probably returned to the Underworld already to command his army.
It was almost impossible for Shen Yanxiao to infiltrate the Underworld by mixing into the Howling Abyss first. Her reason for this was the more conspicuous it was, the more likely Satan would notice it.