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What they wanted to know was whether Demon Lord Tian Xie had left the Blood Moon Sect or not.

If they had already left, there would be no need for them to stay here anymore. They would have to return first and figure out a way to find the Evil Lord Tian Xie, but their chances of doing so would be very low.

If it was really inside the Demonic Cave, then they would most likely stay there