After listening to everything I had a better understanding of the situation, basically, the Heretic God of Fun just wants to live peacefully having fun every day, the only thing that worries me is his way of having fun being too broad.
Athena is lost, she clung to Vanessa's image of Saint to fill the void left in her heart when her faith in the Church of Light was shattered, I can't say if she even realized she's using Vanessa as a crutch to keep her upright.
The other 6 just wanted to run away and believed Athena about someone able to free them from the Church of Light, she happened to be right, but for her, there is no other option but to stay where Vanessa is.
"(None of them seem to be lying, plus I've been using my Aura on that crystal to see if the Blessings inside me react in any way, but nothing happens.)" (I)
