i am not surprise she followed him. she is traumatized, in a way that makes her 'cold' or distant from the world. i think there is a word for it, but it is escaping me right now.
she is immortal, and even if she doesn't like it, after so many years her ability to feel fear must have gone away.
see how she doesn't mind dealing with the monsters, or even after falling, she is more angry about not being able to die, than the pain and the monster making her fall.
so she following him is more like 'what can he do'; 'he will probably be afraid and run away'; 'will they finally begin to experiment on me'.
she is dumb tho, i agree, she is too naive, i think she was quite luck to not have encountered even more issues while growing up so far. there is even darker places, government finding her, scientist experimenting on her, come on even something like selling her organs infinitely (if she is that much 'immortal')!