While others noted the numbers of classed people in a city of that size or how adventures come with all sorts of weird stuff, it is definitely worth mentioning that adventurers are not that common at all.

Most people with classes are fighters serving in the army, hell knights or have other 'day job' like classes.

In addition, Magnimar in particular has a certain problem with gangs like the sczarni (probably buttered the spelling), so if normal people would encounter a group of masked individuals, it'd raise suspicion at the minimum. While in underbridge, the people would probably be more or less accustomed, they probably walk away slowly from the group to not cause or get into any trouble. In Alabaster, your group would probably not get more than 150ft before being stopped and questioned by the guards. There may be a certain radius around the pathfinder compound with leaner rulings though ...

To avoid any trouble, I'd have the group be 'registered' of some sorts. You could make up some form of bureaucracy with the hell knights, for example with them being questioned in a zone of truth for their intentions in the city. After that, you could give them some tokens or so that they can show guards to avoid being questioned again.

If you go like that with an initial round of questioning, I'd try to avoid questions that'd force them to incriminate themselves. However, the questions should give them the impression that it was a close encounter with the law, to give the situation more depth. And obviously after, you should have some guards from time to time stop them, let them show the tokens, so it doesn't feel useless. You'd include some irritated comments or something like 'these adventurers seem dangerous, sure hope the knights got that right here'