A few days prior to the whole ordeal at the castle, Helga had joined everyone at the 'Phordite mansion in trying to help Linkle get her body back from a current named devil. Her daughters of course came in tow, although they were only allowed to check into their rooms, do the daily necessities, and after getting back from school, return to their rooms.
Being teens, however, they snuck around with the help of Cerberus sniffing out Helga and guiding them back to their rooms before she could get too close. Not entirely unaware of their shenanigans, the Valkyrie allowed them some amount of freedom but didn't let them assume for a moment that she was being lenient.