Just imagine all the fog!Zhao hilarity, tho...
Zhao: I HAVE YOU NOW AVATAR!
Jinora: Lemme go!
Zhao: AND--you're a girl now? Well, won't Zuko be relieved.
Allllso my favorite thing about the fog prison is that is gave Zhao CRAZYBROWS. That's how you know it's intense!
Iroh was keeping an eye on the white one with katara and yui
(Though I'm actually kind of bitter about that. C'mon, Zuko and mystery Fire Lord daughter. I want to see!)
I think that the spirit somehow prevented that just some random dude/tte takes everyone away. I guess that you can only savethose you know why are lost or something like that. But that may be just my headcanon. :/
(Or Tenzin thought there isn't enough time and that it's better to save the world world than a bunch of people. Afterall now that the worlds aren'tapart anymore, anyone can go to the og spirit to try to help them. Heck, this may even be a later plot point.)