It doesn't follow. That isn't what it is. It watches and it dissipates as they leave.

Cole can't tell when it's gone, because it has no presence that he can sense, but he keeps following Ben and he can feel ben, the relief when they're safe.

"I meant to help. if I don't help, I'm not Compassion or even Mercy and if I'm not them..." What is he but a demon? "They wanted the suffering and pain to end, so I killed them, because Cole stopped suffering then. And then I killed Lambert, because he was making people suffer, he was Pride and Cruelty and if he was dead, he would stop doing those things." He's also rambling, but he's trying to explain. "He called me Demon, and I told him to look into my eyes..."