She is extremely grateful her cape goes around her shoulders rather than her neck, that would've been painful otherwise. She waits a while before speaking.

"Maybe Henry's on the run?" It could just be coincidence that they're heading that way, although somehow Steph doubts it, "Do you want to go up?"

She means up to the rooftops, where it's less likely someone will turn around and see them. People very rarely think to look above them.