It's not that they don't trust the others' strength, when they warn them about hits, or dive in to deflect an attack against one of the others, or worry when someone's left behind. Nobody knows their strength the way they do; they've sat back and watched enough of it.
It's really not an issue of trust.
It's just that nobody -- youkai, human, or not -- can look everywhere at once, and it would be the flaw of the person who sees it if that person didn't block for his companion -- not the flaw of the person who hadn't seen it.
They'll be okay anyway, of course. None of them are weak, and none of them need the others, and most of them wouldn't die even if they were killed. It's just a matter of pride.
It's better this way.