Since there was a higher chance of encountering monsters along the edge of the forest, taking this path was the wrong choice from a bodyguard’s perspective
Even so, everyone still chose this route. This was done in order for Ainz to fulfill his promise to Peter and hunt monsters. Although there was a lot more to lose than to gain, they were still able to choose this path without worries because Momon and Nabel were there. In addition, Narberal demonstrating her ability to cast tier 3 magic ‘Lightning’ when they left the city was a big factor