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It might be more accurate to say that it was precisely because the Penalty Demon recognized Helquinn...
...that he knew, regardless of the order in which they entered Eagle Cape Village, Helquinn would definitely target Prince Wolfram!
Helquinn's deep-seated hatred for the Giants would render the rule that "The Wild Hunt does not pursue the living" ineffective.
The Sixth Power Level Wild Hunt King, if bent on a deadly pursuit, was very likely to kill Prince Wolfram.
—After all, His former master was only a "Grand Wizard" of the Fifth Power Level.
As an advanced profession of a Curse Ritual Magician, he was far too dangerous... It would be easy for him to curse someone to death, and that wicked Jacob was also of this level.
Now that the other party was aware that he had become a Penalty Demon, they might utilize various counter-demon rituals against him... They might even set a trap to capture him, which would be extremely perilous.