I'm glad to hear this story ended so well. Thinking about the scenario, I definitely couldn't argue with their decision to stay put. There are seldom any cut and dry answers, but the "move or stay put" decision is often what makes or breaks things. I love "Survivorman" from several years back: it's fun to watch and full of simple tips, survival anecdotes, and a running commentary on the thinking behind his decisions. Obviously there's only so much you can learn from a book or TV show, but especially combined with time in the wilderness, they help you build a survival mentality. In many cases, it's that mentality that's the difference between life and death, more so than the scenario or equipment on hand.
In this case, I think staying put made sense. In bad weather, things often lean that way. Your ability to successfully navigate is massively impaired, and your chances of getting lost or injured skyrocket. If you're completely exposed, or maybe in an avalanche zone, that might force things the other way. Generally though, I think at night in bad weather, I'm going to stay with my sled until daylight and better weather. But again, for every general recommendation in survival, you can probably find an exception. There are always coulda, shoulda, wouldas in survival scenarios (especially in cases where someone pushes into terrain they shouldn't), but if everyone comes out unscathed, it's probably because they started using their head at some point.