The figure in the mirror really did leave—without doing anything extra, just like he said at the beginning, he came "just to see how things were."
Fenna stared at the mirror with full vigilance for a long time, before she was finally able to confirm this and truly set her mind at ease.
Then she fell into a brief spell of introspection and paranoia.
The paranoia was due to the professional habits of a Judge; she really found it hard to truly trust a "person" like Captain Duncan, who carried a century's worth of terrifying legends and was also associated with Subspace, even if he seemed rational and friendly, and had indeed sheltered the Plunder City-State. The reason for self-reflection was simpler—
She realized that her vigilance had gradually weakened during her communication with Captain Duncan.
This manifested weakness was unexpected; she had never thought it would occur to her.