Even though Duke Alphonso had promised Lady Melissa that he and his guards were going to go back to the Peagler estate, there was always the chance that Duke Alphonso was lying to her and that he didn't go back to the Peagler estate.
There was also a chance that even with Duke Alphonso gone, perhaps maybe some sort of other danger would happen and it would be like typical, revolving around Lady Melissa, and seeing how off things have been today than any other week, she'd rather take more precautions than to regret it in the future.
Besides, as the saying goes 'It's better to be safe than sorry' she agreed with the saying since she'd rather be overdramatic and take more precautions than needed than suffer serious injuries and regret the fact that she didn't take a lot of precautions if anything had happened to her.