Saleos and Zagan were most aware of how arduous it would be if their defence would be left to the two of them alone. Even though their magic capabilities were leagues above the mortals, there would always be the possibility that something might go wrong within an enormous crowd. Khamael's shield was the outermost one, and to serve its purpose, created to be the sturdiest. Furthermore, they couldn't entirely invest their focus on reinforcing the shields, considering that the Demon Nobles were taking care not to allow the pillar to influence the minds of the knights in their group. Thus, It would be reasonable if they didn't want the knight to go ahead with his plan.