He was concerned about the previous incident in which he had lost Yona and was accompanied by someone else in her face. He can't let that happen again, which is why he kept holding her hands.
They entered through the heavy gate. There was no problem entering, but if Austin had tried to accompany them, the entire Dark Realm would have vanished or they would have been attacked by various demons. It has no permanent home or location. That's why Dave desired the Dark Realm.
"Didn't you come here once?"
Yona asked him because she saw in Katherine's mirror that he was the one who won the Dark Realm from the Vampire clan.
"Yes, I came here, but it wasn't like this. It was simple and bright because the Vampire kingdom had arrived. I believe everything has been destroyed, and the souls of vampires are housed within the wolves, which is why they are referred to as ghost wolves. If I'm correct, this is all Dave's fault!!"