I doubt Rozemyne would charge off to the inner country gate, even if she knew Letizia was on one of the ships. Even without taking her target fixation into account, saving Ferdinand inside the mana replenishment hall is something only she can do, while taking the ships and freeing hostages is something plenty of other people can do... and in fact can probably do better than her. As such she would at most ask Hannelore to send some of her knights after the ships.

But I don't think that'll be necessary anyway. Dunkelfelgerians are well schooled in strategy and tactics, so they will know not to let any enemy escape, if they can help it. Also the ones that are currently out in the streets to hunt down the fleeing Lanzenavians are going to run out of targets in the streets rather quickly, making very likely that their attention will be drawn to the shiny silver ships as a place for more potential prey.