This feature of the monsters of the Dark World is told by the characters of this world. As soon as the monster feels that it can be defeated, it uses the distortion of reality to escape. The only way to counter this is to freeze time for this monster, which is possible for creatures with wings, the Celestians. But Celica must do this herself, without any extra eye-catching items of clothing.
In general, remember at what damage value the monster runs away. Next time, before reaching this value, transform Celica and use her time stop spell. Then finish off the monster with light spells.
And yes - no hats on Celica's head.