I think, they were not scared because KB was not scared during her last conversation with mom.
Sad or good that people don't foresee the future? On that Safeway video, KB walks calmly, she looks busy and is aware of her child, but she has no foreboding of the horror to start in 30 minutes.
So she told mom, calmly, of her plans. A dinner, a X-mas tree. And who would have thought that her child's father had very different plans for the evening? I think she was calm, she had plans, and they included PF. This is why no one got scared.