Max told Ethan to not worry about anything for the moment and to take his family home. They've had enough shock for the day and he needs privacy to explain everything to Lola. He just doesn't know where and how to start.
"I saw you. I didn't know you had a gun." Caitlyn stated flatly as Ethan lifted Jordan and held May's hand.
Max and Lola, who held each other tightly, turned to look at the family. They were admirable and it's obvious that both parents love each other so much and can do anything to protect their children. That is something that Max thought was worthy of envy. He would never forgive himself if their lives were ever in danger, or if they had to live in fear because of him. That was why he had asked Ethan to leave.
"Uhm, I will explain this to you. This is not the right place and… our kids." Ethan whispered the last words to her so they wouldn't have to argue about such complicated things in front of the children.