After killing Wang Benchu on his second planet, Meng Yu didn't return to Great Wu but changed his identity instead. He took the Interstellar High-speed Railway and traveled to other planets. Only after the Teleportation to Great Wu was available did he arrive on that planet.
Captain Luo's Death Squad provided plenty of fake identities, enough for him to continue using them up.
And this also led Immortal Sect astray, for instance, making them believe Meng Yu was still using minor shifting on the planet, or if they tracked individual IDs, they would find the person with that identity still traveling on the Interstellar High-speed Railway to other planets.
Details determine the outcome and also dictate how hard the Enforcement Hall gets slapped in the face, watching the enemy fuss around in irrelevant places is a good thing, wasting what little authority Hall Master Zhao may still possess.
After all, the third planet inflicted a great deal of mental anguish on Meng Yu.