Slow Life
A lot happened in the past few days after the embroidery competition in the Wind Kingdom. A couple of nights after the investigation was launched, the Lei family tried to escape the city as their corruption was getting revealed. But the moment they crossed the city gates, they were attacked by "bandits" and none of the Lei family member survived.
The attack was the talk of the city as everyone knew who these "bandits" were. There were almost no bandits in their kingdom and certainly there was none near the capital city since the government had enforced law everywhere that curbed the bandits. Most of them were reformed and they are doing decent jobs now.
Also if those were actually bandits who attacked the Lei Family, they wouldn't have just killed the family, leaving the servants and even the valuables of the Lei family weren't taken by those "bandits".