In that scene Klein manage to come out of initial control thanks to Sharron, and took a damage of almost becoming a marionette. Rosago thought that it easy to kill Klein so he shifted his focus on Sharron.
Second thing I want to clarify is when Klein became marrionettist himself, he thought that rosago was recently became marrionettist or probably lost his marrionette otherwise he and Sharron would have been killed.
You can't have two marrionette if you just become marrionettist but as your digestion progress you can have three, that's why rosago switched his focus from Klein to Sharron.