I think Sheba is vanishing because she realized he wasn't real.

The realization that Solomon didn't actually show up and it was just an illusion was probably heartbreaking enough for her to want to vanish, go back to the Throne of Heroes, and hopefully forget everything about what just happened.

I know I would want to vanish if someone made me think Solomon came back and then revealed it was just an illusion or prank.

I have a feeling that this is why BB never tried something like this. She might be chaotic-evil, but she probably knows that we'll be broken beyond repair if she pulls something like this.