They were safe, and Appa was back.
The Dai Li wouldn't simply let them escape, obviously; they had to come up with a plan to reach the Earth King before Long Feng did and there was still the task of convincing the Earth King that action needed to be taken. The children argued; the girls wanted to leave the city as soon as possible, while the boys reminded them of their whole reason for being there in the first place.
But for Momo, the most important part was that they were safe, and Appa was back.
At first, he'd thought it was a dream or an illusion, like all the times he'd seen Appa's form in a tree or a cloud. But as he snuggled into the depths of the bison's fur and heard that familiar contented grumble, he knew it was no dream.
His friend was back, and that was the most important part.