Character death is always 100% at the discretion of the player, so no worries. And she could get captured if you want! But I don't know how much would come of it plot-wise since we're at the end of the game. There's going to be a bunch of Barrayaran forces also part of the hijacking attempt who are going to fall back once the Star Gate ship is up and away, so the general assumption is that anyone left behind would fall back with them. But if there's something special you want to do with Vex for this plot, let me know.