It has crossed Highbough's mind that getting himself (but not Wen) captured might not be the end of the world. A valuable prisoner might hope for enough food and drink to sustain life, more than the desert can promise. And what better opportunity to cast Sixth Sense than deep within the enemy's fortress?
The dire consequence of his capture however would be the magic items falling into enemy hands. If capture is imminent then Highough would try to buy time for Wen to escape with these items and continue the mission.
Does Wen have any interest in giving the ancient great mace a swing? If we are about to die in the desert then it seems a waste to leave its powers untested. But on the other hand we should be wary that it might be cursed or chaotic. I recently realized that Warlocks are not proficient with maces, so Highbough has no use for it and already has a cool magic weapon.