From Gio's attitude thus far, the others somewhat knew that he was dead serious about what he'd said to them earlier. He was letting them come along, but he wasn't going to wait for them.
He had become progressively more unresponsive like a beast that was approaching the end of a scent trail.
When they broke into the catacombs, he took off. With no regard for anything else, he rushed in the first direction that came to mind. He didn't stop to let Neriah pathfind them to VNGRD. He just ran.
There was no way to decide which of his three goals was most crucial. In fact, depending on circumstance, the answer changed. All three of them were important for the future, and to Gio as an individual, trying to determine which one to follow was too much of a burden.
He couldn't prioritize himself over the world or vice versa. It wasn't a decision he could make, because he was aware of which of the two was more important.