Being subordinate to the Overlord, the Yakuza were under his protection, as long as they remained loyal, though their fear of him was greater, they also kept in mind the Overlord's promise to take them with him on his journey towards world domination as they told him that they would prove useful to him.
Instead of running away abroad, they were instructed by Yuri to temporarily stay in Japan and maintain a low profile.
Shigeo, Takishima, and Yakushimaru obeyed their new lord and commanded their men to go to their safe houses and wait for further instructions. And what specifically Yuri had in mind for them, they did not yet know.