When they said they had to wound him I was thinking Scanlan was going to roast him. But I love the ballad! It´s sad we lost the Sphinx. He never got wounded and immediately died. Poor guy. His friendship with Scanlan was kinda cute.
I think when they were transporting out the dragon was kinda "hitting" Keyleth as they were vanishing, so she was distracted and that´s why they got separated.
The place they are at the end looks like the Fae plane Scanlan saw, I think. So they are probably going to get that bow while Grog and Scanlan will deal with Pike, whereever they ended up.