Fear the Sun

According to what the Sleeper had told them, his two friends were not very far from Sunny's territory — however, they were well beyond the reach of his Shadow Sense. 

It had taken the youth two days of wandering to stumble upon the Fragment of the Shadow Realm, where he was picked up by Saint. The only reason he had survived such a journey across Godgrave was because Nephis and her people had burned away most of the Nightmare Creatures on the surface, clearing a path to the vicinity of the Nightmare Temple. 

Sunny could traverse the distance a Sleeper could walk in two days in a couple steps, but using Shadow Step in such a manner was bound to consume a vast amount of essence, especially if he had to bring Nephis with him. Transporting her and two more humans all the way back was out of the question — unless he wanted to find himself severely weakened in the middle of a Death Zone, not to mention sabotaging his other two avatars.