During the investigation by He Song and his two companions, they would undoubtedly encounter resistance from the other party to some extent.
Moreover, this method could easily spook the enemy.
They would all know that the cultivators of the Yi Yang Sect were investigating them.
If He Song were the Locking God Cultivator from the Sun Faction hiding in the Biyue Prefecture, he might instantly think about fleeing.
By the time He Song and his two companions would have gone through great pains to thoroughly investigate the matter, they might discover that the other party had already made a getaway.
In that case, not only would He Song and his companions come up empty-handed,
but they would also have to worry about their identities being exposed during the investigation, leading to an ambush by Locking God Cultivators.
Considering this, their slow and meticulous approach to the investigation would surely be more costly than beneficial.