If it's "she must be killed", hopefully the last-mage's player heard that caveat and took note.
But if we lived in a world where fantasy magic is or was a known thing and someone walked up to you and a) said "I'm the last living mage" and b) was able to prove the 'mage' part, I suspect your reaction would be anything but "who cares?". Depending on a host of factors I cold see reactions ranging from "protect the mage" to "kill the mage" to "run for the hills!" to "how can I/we profit off this?"
I've tried reading one Discworld novel, ever. Got halfway through it and gave up.
Ditto if there's any risk Jocasta could train up more mages. However, your previous posts seemed to suggest that even turning Jocasta in to keep her safe is poor play; I'm surprised (and impressed!) that you're putting the idea of killing her on the table.
I thought she was supposed to be a PC. And yes, there would need to be rules around how a mage could or would work in a game in the complete absence of any other mages (or enchanted items e.g. scrolls and spellbooks etc.) to learn from.
Unless, of course, the campaign spends some time chasing down ancient scrolls and spellbooks etc. for her; but then we're back to things centering on the one character again.
Or you need to accept that once the puck drops it ain't always all going to be candy and spice; and that sometimes one or more of the other PCs might very well be out to get you.
One person's horror story is another person's evening of entertainment. Our characters occasionally do awful things to each other; meanwhile we at the table just sit back and laugh at it all.
Just because we're all frineds at the table doesn't for a second mean our characters are friends in the fiction.
The idea of making my character Jocasta's bodyguard came from you, not me.
The player doesn't have to stay at home. Not at all.
The character, on the other hand, might. That's the risk its player took when deciding to play the last known mage in a non-magic setting; and while I'd like to think someone would have mentioned this when the character was first suggested, even if it wasn't it's still one of numerous possible (and IMO quite reasonable) in-character reactions* to learning you've got the last of the mages in your crew.
* - most if not all of the others would still render the character unplayable in one way or another, unless the rest of the group took on support roles.
There's only one Rime but if Rime dies there's nothing stopping you from coming right back with another CN Rogue if that's what you enjoy playing in that campaign. If our hypothetical Jocasta dies, however, that's it. No more mages, for that player or anyone else, for the duration of that campaign.
As for characterization, there's usually some of that right out the gate and then it develops further as play goes on. Backgrounds, particularly at low levels, I don't worry about nearly as much until the character's lasted a while; low level play is pretty lethal round here.
Well, one player unilaterally (or with the GM) decided to play the last mage; so what's the difference if I unilaterally decide that mage will be stuck with me as its bodyguard? We can sort out the arguments, if any, in-character once the game starts.
Oh, that's very true; and characters leaving parties for just that reason has certainly happened. There's no law against it.
Characters, note; not players. The player is always welcome to roll up something else, or bring one in if she alreeady has it from a prior adventure or part of the campaign and wants to cycle it back in.
And that meta angle bothers me every time it rears its head and interferes with being true to the character.