Is it a test of Zhao Liang Dong, Wang Jian Bao and Sun Si Ke's loyalty? It is well known that those three are WXB's loyal subordinates. Ordering them to lead soldiers to capture their own boss (which they truly respect) is just like telling them to let him go.
IF KX really wants WXB captured, the entire Valiant Cavalry Brigade commanders and troops will be grounded on the possibility any of them will try to help WXB escape and only other brigades will be dispatched to capture WXB.