Roy was clearly displeased by the fact that his newest 'toy' was actually taken by someone else and was being tortured, but he wasn't that stupid as to immediately jump in her rescue.
After all, there was someone else that considered her as 'his' own toy and would most probably make a move for her.
Even though it was impossible for the guy to try and save her from her current situation and fate, he was bound to create some trouble for Count Reik.
Especially when he received a letter from the 'toy' describing what happened, and the fact that Lady Fiona had been all this time on Count Reik's Mansion.
With those thoughts in mind, Roy decided to first leave the Mansion first and check what was going on at the production factory and the Sparrow Merchant Guild quarters before making his next move.
Without full knowledge and control of the current situation, it would be stupid on his part to make a move.