It's supposed to be sudden. Besides, I think it'd rather out of character for them to have a drawn out farewell. Silently sidling off, phasing out or zooming off is much more in keeping with what we've come to expect from them.
Of course all we saw was them all leaving Coriana VI space. it was at least several days before Z'ha'dum was fully evacuated and with Vorlon space sealed off there's no telling what went on when they left.