It was an easy task, but we don't know how many demons we will be facing. That's why it's best for us to stay away from that side of the battlefield until we know that the place is safe enough to investigate.
If we were involved in a battle that might occur, we might end up dead before we could even see the knight's corpse.
There'd be no telling what might happen to us in that situation. Not only that but if we're separated from each other and get captured by the enemy, our odds of survival will surely fall considerably low.
So I think there's no need to push this issue further. After all, it'd be best if Captain Kaze realizes that this is a risky job we will be doing. Suppose he decided to send only a few knights with us to that area.