Actually, Lu Li didn't have to concern himself about what others thought. In this world, absolute power was the thing that ruled. Nothing else mattered as much.
Also, Lu Li had asked Jiang Qiling a favor by closing down the Teleportation Formation at the Clouds City temporarily after they arrived at the Northern Desert. Jiang Qiling would also ask the Palace of Peaceful Heavens to take down any people who teleported over from the Northern Desert.
Jiang Qiling was the daughter of the Family Patriarch of the Jiang Family, whose orders were not to be disobeyed by the Palace of Peaceful Heavens. If it so happened that someone went to the Central Plains and told Lu Li off, it wouldn't matter. Lu Li and Lu Feixue had already been exiled from the Lu Family. They were not breaching the rules by unifying the Northern Desert. The 12 Royal Families wouldn't mind.