I think I have an argument in favor of taking the ship. If we take it, sure, risk of detection, yeah. But they'll know Jumba has escaped eventually, but they won't know right away that it's us, as we'd be taking any security cameras on the ship with us. So they'll probably just assume Jumba flew off on his own. That'll give us some time to research the spaceship. While I don't expect to be able to instantly replicate the innards, I do think that with Doof's personal attention, that we could try making a fake/duplicate of the ship and using said ship to fake Jumba's death.
They'll be looking for Jumba regardless of if we sneak out or take the ship. But if we take the ship, they'll assume that Jumba will stick to said ship. We can use that assumption to eventually get Gal-Fed off our tail entirely by either blowing up the ship itself-after everything important has been taken out of course- or blowing up a replica of said ship. We do have those Robot Duplicates lying around after all, and as long as the explosion is big enough, we shouldn't have to worry about Gal-Fed finding anything. Just get RD!Jumba in the Fake!Ship, have some bullshit transmission sent to Gal-Fed about an experiment of his getting loose to the point he can't contain it, so he's coming back because he'd rather live than die. Then, after a comment about the experiment going to the engine room, blow up the ship mid-transmission.
Boom. Fake death and Gal-Fed no longer looking for Jumba. If they do find anything in the wreckage, as us stealing Robot Duplicates from Syndrome isn't public knowledge, then at best they'll be looking at what remains of Syndrome's empire instead of us.