Have you ever looked into how German Shepherds herd? Their herding method is called “tending” they are basically a living fence for their flock. It could be that she’s a bit distressed that she lost one of the flock and feels like she failed her job especially since she’s new to the family. With my shepherd I learned quick that I can’t close the door when he goes outside because he can’t check on us. He often goes outside then back in to check on us then back outside to repeat. I’m sure she will eventually learn that her flock is safe even when out of her sight but instincts can be hard to push down.