Earlier, when Azzy was put under illusion by Beelzebub and got captured, he didn't free himself because the Reaper didn't let him do so.
Azzy was forced to watch everything from inside his mindscape. He heard every word she said. He saw every action she made.
And, when the portal opened and she turned around to walk away with her master, Azzy got control over his body but he didn't move. In heartbreak, He didn't call her either and let her walk away.
Meanwhile, Leah arrived at the location when Azzy was captured inside the divine pillar but couldn't come out because of Louis, who didn't want unnecessary trouble. The latter firmly didn't open the portal and just let her watch the scene from another dimension, stating that she is not in a state of battle and they could certainly be killed if go there recklessly.