They absolutely can run away, but Azusa's powers are not very strong, it takes her a while to try to decide and image what she wants to change into something else. So at the moment, as the skin on her arm starts to turn the color of the carpet below them, it's up to Koshi to protect the two of them.

"We can run away! Find someone to help! The X-Men will help us!" Azusa really wanted to believe that someone tough would swoop in and save them, but she knew that there was just as much chance of nothing happening either.