Hey GNRF, the reason is in this chappie
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With Lawrence's back now turned from Jessie, Don motioned to her with his eyes. Once he had her attention, he mouthed...
"Open your cage door, slowly."
Nodding her head that she understood, she carefully opened it. Watching her grandfathers lips, he said...
"RUN..."
Quietly crawling out, she got up, tiptoed out and around to the stairs, praying that the door would be opened up top. Still hearing the guy yelling at her mother, Jessie managed to escape up and out of the place he had them.
Running down the street, she had no idea where she was. Hitting 12th street, she noticed the number 280 W. Knowing she was near her mothers work place, she decided to run in there. She wasn't sure whether there would be anyone there. But she had to try. Noticing the sun coming up, she figured it had about 6am.
Pounding on the door, some big guy answered it. Taking one look at the young girl, he could see Donna everywhere.
"Can I help you?"
"I... need... help... a phone... please... "
Letting her in, Jason decided to wait, till she had phoned someone.
"Grandma... grandma... it's Jessie. I need you grandma, mommy, daddy, and grandpa are going to be killed. Please grandma help me."
Hearing the young girl panic. He took the phone.
"Hello... who is this?"
"Who are you? Put my granddaughter back on, now."
Once he handed the phone to the young girl, he tried to wait patiently, but he couldn't believe how much she looked like Donna.
Meanwhile...
Lawrence was still yelling at Donna, not realizing Jessie had escaped.
"I guess you are wondering why I brought your father, aren't you Donna? Well... let me tell you why. Your father deserves to know what type of daughter he raised. What evilness he and his wife has spawned. Cause that's what you are Donna. A spawn of manipulation. Do you understand Don? Do you now see why your daughter has to be tortured? Needs to have all that evilness driven from her."
The only thing he knew, was that Jessie had gotten away. To him... nothing else now mattered. For he had saved his granddaughter.
Meanwhile...
"Listen to me Jessie... where are you?"
"I'm at mommy's work. He's got them grandma. Please hurry."
Hanging up the phone, he kept the young girl there.
"Can you tell me. Are you Donna Taylor's daughter?"
"Yes... why... my mommy, daddy and grandpa are going to die, they need help."
"Can you show me where they are?"
"I can't. My grandma said I had to wait here."
Hearing the cars pull up, Jason let them in.
"Jessie.."
"Grandma..." running into her arms, she wouldn't let go."
"Okay Jessie. You need to take us to the place where mom, dad, and grandpa are. Okay?"
"Excuse me... I'd like to help. I'm Jason, one of the bouncers here. Donna informed me yesterday what was happening. We talked more on the way home. If this Lawrence guy does have them, according to Donna he's dangerous."
Mac sized him up. He had to admit that he was well built, and he could see he was packing. So obviously... he had training behind him.
"That's fine. But you stay with Danny, and Sheldon, understand? Jessie... show us where they are."
Heading out, they knew they were going in blind. But what choice did they have. Especially when there was no time call for back-up.