The Question and Answer section for The Scarlet Pimpernel is a great resource to ask questions, find answers, and discuss the novel.
Margurite is married to him. I suppose that accounts for some loyalty. It isn't until much later in the book when she discovers that Sir Percy is actually the Pimpernel.
Chauvelin finds a letter from Marguerite's brother, Armand, and now he sees that he can blackmail her to help her find the Pimpernel.
In Chapter 28, the Jew is distressed.
The Jew seemed in real distress; he was shaking from head to foot. Clearly he was not the man to be left by himself on this lonely road.