Did we meet Auro before? Did the witch read her book on dimensional magic or something?
Being affected by air resistance, still standing on the ground, bound by gravity, cloak blowing in the wind. He's clearly able to interact with the physical world. Could have scribbled something on the ground or slap the Protagonist to show that he's still around, only invisible.
Did you forget this manga is about speedrunning?I was wondering if Rayman in this state can possibly make contact with Auro, whose existence is even more divorced from reality. Then as soon as the Messenger mentioned the "wandering lady", that's all the confirmation I need... I just didn't think we'd see her right away!