It's not exactly just pride. This thing has some special abilities, but it's officially at the rank below where the Orc Disaster was. Even with them saying it's about as strong as a disaster class demon lord due to those abilities... so was the orc, and he ate that thing right in front of them with very little difficulty after testing things for a bit. They believe in him because he's given them strong reason to do so.
In the first place this is his story, not Milim's. If not this, some other reason for her to back off for now would have been contrived. Like the non-interference agreement between the demon lords or something, which would feel equally as dumb to us since it's likely the vessel this thing is in right now is the reason it's heading toward them... and Milim is what's his face's target, not Rimuru or his city.