She arrives at the mansion, to find it empty, but several messages awaiting. Rather than following up the one from the New Mutants, clearly stating where they've gone and that if they're not back yet there's a problem, she instead goes after Colonel Rossi, who's been captured by SHIELD (we don't know why, and SHIELD don't know who he is - a dangling plot thread that'll presumably be picked up on in a few issues) and she's worried about. It's quite subtle at this, and it only gradually becomes apparent that Rossi and Rogue have never met - that Rogue is remembering Carol Danvers' life instead. A short snatch of dialogue adds to Wolverine's backstory - he and Rossi once broke Danvers out of Lubyanka, when she'd been captured by the KGB. The conversation here works - we are on Rogue's side but we can see she's become quite dangerous, and we can also see that Rossi is justly very skeptical.
And that is why Nick Fury put out an APB on Rogue, an active member of the X-Men.