Did P4 ever address what they see when Yu goes into the Velvet Room?
Maybe they don't notice because it happens so fast from their perspective.
Like five minutes in the Velvet room for Yu is like, 5 seconds in the real world staring at the wall?
I have no basis for this, it just seems like it'd make more sense for it to be that way instead of them just watching as he stares into empty space for 10 minutes as he fuses personas.