Cut to film: of them appearing at the door hesitating and then closing door.
Cut to studio: with increasing panic they run to the second door.
Audiences are good at figuring out which elements of a work are on which side of the Fourth Wall.
No explanation is necessary for why our hero can hear a ringing telephone but not the movie's soundtrack, or why the space ship is menaced by the Negative Space Wedgie, but not by the opening credits drifting by outside the ship: it's something we accept as part of our Willing Suspension of Disbelief.
Fourth-Wall Observer is what happens when a particular character has this on full-time and the rest do not.The story of being reverse-molested by sexy inhuman vixens!