This is probably another one of those things that comes from me trying to react as if the story were real rather than trusting the Law of Conservation of Narration. In real life, if I had a friend who had just been mind controlled by a despair monster and almost forced to kill herself, then I would check for any lingering effects to the best of my ability.
We killed the witch, now the only danger is "Feathers". Since it hasn't attacked us directly (despite having ample opportunity to do so), the Industrial District isn't any more dangerous than anywhere else.
Madoka's friend just got attacked. That's a thing that she would want to hear about so that she can be there for Sayaka. This would also allow us to keep an eye on Madoka without alarming anyone.
We're not actively hiding the fact that Sayaka got Witch Kissed from Madoka, are we? That's a step too far.