The Vex simulated entire universes from just what it saw. Walking out of the lab wouldn't have done anything. They're supremely powerful. They sent the simulated copies that they saved into the Vex network at the Citadel. The team stayed safe in the lab while their minds were channeled through a Warmind into proxy, robotic bodies. They wanted to send the simulated copies into the network to see what's it's like, to see what the Vex see. The Vex was like a god in the simulation. It could have done anything: tortured them, killed them, turned them into experiments. And if there is only one reality, the chances were that they were in the simulation.