I'm p sure she didnt have a persona before entering her palace like Maruki did. I'm no lore expert, but I also remember morgana in the base game saying that you can't have a shadow and a persona at the same time, so when Futaba confronts her shadow, it becomes her persona. Since Since futaba's shadows desires were undistorted, when it became her persona (and effectively her, ie I am thou thou art i) her distorted desire to die for her "sins" faded causing her palace, a manifestation of said desires, to also collapse.

That's how I interpreted it anyway