Still, it doesn't seem right... even if it is just a game, I think everyone here would rather be back home.

[She's about to leave it at that - after all, she's quickly finding out that nobody here knows what's going on - but a thought strikes her]

...wait a minute. You said that nobody gets hurt, but what about those Rockets?

[Utena just heard about them, courtesy Twilight Sparkle. She might as well find out as much about them as she can]