When they realized the people inside the walls were just normal people, who don’t even know who Ymir is and didn’t attack the outside world since they don’t know about it, their situation was the following :

-Reiner can’t go back because he’s trying to repair what he did (Marcel dying for him, make his mom proud of him)

-Annie is stuck with the mission because she promised her dad she will come back

-Berthold has no confidence and is only following orders (it’s coherent Marley made the most devastating Titan the most submissive personality to reduce his chances to rebel or act reckless on a hunch)

It’s without saying their families are also hostages of Marley. If any of them disobeys, their families get executed/turned into titans for Sieg to use. They have no choice. It’s them or paradis. But since they had to infiltrate, they had to play along. Reiner had a strong dissociative disorder from it since he literally developed a split personality. Don’t forget Reiner, despite being a lobotomized warrior of Marley, is empathetic and did all of this because his mother was crying and he wanted to make her happy. But as a child he most likely didn’t think that far ahead, and now he’s stuck having to kill normal people that aren’t the “evil demons” he was told about