https://genshin-impact.fandom.com/wiki/The_Price
I think I found it. Leaving means "dire consequences." It doesn't state death, but I think after this quest, one of them doesn't survive. I could be wrong, but if you escape & survive, you're the lucky one.
So, definitely... Don't defy Her Majesty if you want to live. Even before Sumeru, I just knew that's how things were. Always had that gut feeling.
That's why I am prevalent on this interpretation in my fic, too. That the Fatui have undying loyalty.
Siorc knows this all too well. It's very common in the fic for him to fear he'll just straight up be murdered if he doesn't perform well, doesn't do his orders. And has been threatened if he disappoints her, he can "kiss his life goodbye."
(Naofa too, after a traumatic incident, Her Majesty threatened to kill it if it ever does something like that ever again to 'her lovely chimera.')
If my take on the Tsarista ends up being inaccurate, I'll be so upset because I take her to be this woman who acts like she's loving, but really isn't.