User blog comment:B214/Question and Answers 6/@comment-24098614-20161024211044/@comment-29963364-20161025161114

1.) Because the teleportation process takes a few seconds to complete, and it gives off a lot of light. So the enemy magicians holding Koneko prisoner could immediately counter-attack the instant Rias & Issei get there.

2.) They didn't know if they would be able to swich places with Koneko because the she was being held prisoner by Magicians (people who could interfere with the teleportation process).

3.) Rias & Issei wanted to use the element of surprise. So they switched places with Rias' unused Rook piece so they could get there without the enemy Magicians knowing.