Good question! Rockets have a choice here: they can either retreat with the other Rockets OR if they don't want their CR to wonder where the heck they went and don't want to be outed, they can change clothes and go into the base with everyone else.

In this case, they will be expected to keep their heads down and not lead the enemy around! Not that they'd be able to do much, as the obstacles are the sort that they would not have had time to be familiar enough with to navigate easily. And past level two they wouldn't have been allowed at all. They didn't have any hand in building the base, and Team Rocket doesn't want every Grunt knowing the whole thing inside and out!

If they actively try to confuse or lead non-Rockets astray in the base, this could also contribute to promotion!