Firstly: why run away?
Secondly: why run away without understanding your current predicament?
Thirdly: why run away when you haven’t fully thought out how you will feed yourself?
Fourthly: If you see super humans why won’t you think about being abducted and being turned into a slave if you escape?
Fifth: If you succeed in running away have you thought about being tracked and killed without question and labeled as a spy, which at that point your fiancée can’t protect you?
Sixth: Without any routes or knowledge what makes him think he can succeed in getting away from a big sect with a huge network?
Successfully running away would only lead to certain death, without any knowledge of the land, the sects reach and networking, dangers such as slave traders or wild animals even psychos, and basic knowledge and functions of the world.
Now the benefits of staying: He has unlimited funding provided by his fiancée, he could most likely open a restaurant if he even thought of asking and slowly build connections, he has a huge value which he is aware of and makes no use of it whatsoever, with the name of a big sect behind him no one hold dare mess with him easily.