Basically the latter? This isn't like the Luceti Valley AU, they don't believe they were born here or anything, and the Malnosso aren't some malevolent entity everyone hates or distrusts. Essentially what they know is that they were brought here by some force or power and they're happy enough to not question it much. If someone were to ask them, "hey, aren't you pissed? don't you want to go home?" they'd likely be confused and wonder why anyone would want to leave.

It's a paradise for the character. It's heaven. Who would want to go anywhere else?