It could have but they were all chasing creep-show Haskell, and that's where he went.
OK, but that's not my point. The point is, why did the writers have Haskell go there? What purpose did it serve? In terms of the story, very little really, and it was one of the more implausible elements of this episode to have practically the entire team haul ass over there, then haul ass back to Las Vegas in the following episode. So the only thing I can think of is that they are possibly segueing to an L.A. spin-off.
I think the LA thing was more a two-fold intention:
1- to show them that letting Haskell get loose has bigger consequences than just affecting the people of the Vegas area, and nobody in the world would be safe if they didn't catch him.
2- to introduce Morgan Brody as Conrad's daughter, as well as having two "tag-alongs" or new faces on the case (Brody & Sosa), both of whom have potential to become recurring characters.