I seem to recall that our dear watch commander also forbid them to engage unless provoked, although not in so many words. At the very least, reporting in to tell someone where it is is favorable. Returning better equipped seems prudent considering the dangers involved. There are at least 20 to what... 8? And may be more to boot. There's a risk of them getting away into the city and the offensive spells at hand hender the characters as much as the wights. Nothing against the spell throwers, but Wren is an in close fighter and getting herself caught in a web, or entanglement spell isn't going to help the odds. More information is needed and taking an hour won't significantly hurt them.