Speaking solely for Vader, he'd never give up on regaining his wife. It was, in many ways, his sole source of hope. To give up on it would be to give up on living, and that he couldn't do.

Vader watched them but didn't stop. He expected to meet ghostly beings, of course, but he wouldn't stall given there was a time limit on the quest of sorts. And better to not wear himself out, in case the ones they met weren't friendly. These didn't feel hostile. More that they understood he in many ways was more like them than he was like Tech. Fair really.