There's danger in there. Not very high, but it isn't very low either…
This means that Madam Sharon is still in the building. She hasn't fled yet…
Klein froze for a moment, quickly realizing the reason.
He had entered a unique state by summoning himself to inspect the safe. He hadn't forcefully broken the lock when he was inspecting the secret compartment, nor did he activate any hidden traps. Thus, Madam Sharon wouldn't have discovered that her secret had been exposed. She would only think that there was a break in, or some private investigator was checking on her to no avail.
In such a situation, it was logical that she would continue to stay home. It made logical sense.