Eli didn’t warn the knights for her sister’s sake. She realized what the marquess was planning when he mentioned a fire. Since she already knows about Leslie powers, she knew Leslie could save herself which would reveal her powers to their father. She feared the tables being turned and becoming Leslies maid, the next sacrifice, and receiving the treatment Leslie did the past 12 years. Being rescued could conceal her powers, and since Eli didn’t know about Leslie’s plans with the duchess, she probably expected her to run off or runaway with the rescuers.