I'd agree that I don't think things need to really change. While it was a bit confusing for them, I don't think it was awful either. I do think it is meant to feel like setting Lee up for a future bad guy, but that is why I felt like him just appearing after that felt weird. It was almost like it was trying to be a set up for something grander and then just cut it off immediately afterwards. The long term plot point just handed himself to the group right after. That's why it felt abrupt and less earned I think.I've been thinking about how I would help with this feeling of missing something in the dungeon. In my gamelog, I mentioned how I would probably just add a room where Lee is summoning the storm, and have the fight there. But how could we kind of set up the dungeon exit scenario more?
I think I would add something to one of the rooms to that gives much stronger hints to the fact that Lee had been there, but left in a hurry. Perhaps a loose paper detailing a secret escape route (giving the players a chance to turn the tables?), or one of the soldiers surrenders and says that Lee left when the attack on the Wayfarer Theater was thwarted (or something similar). Something that tells the group that the reason they're here isn't here anymore. The fight with the inquisitor was difficult enough with my group that it might be seen as a boss fight, so it might feel like the proper end to the dungeon, alongside feeling like its setting up Lee as a long-term villain. And then he ambushes them!
Pretty rough, but that might be what I would do if I felt like the ambush was important enough.
For all of that, I'm not sure if I would change it. I kind of liked that Lee wasn't sitting at the end of the dungeon by himself, hiding. Maybe what you said and having it more clear that he was just ahead of them and heading out would make the group chase him more enthusiastically. Perhaps a back exit? Though that cheapens the way in...