They will attempt a big feelsy (you) moment with Columbina where she saves (you) from the Fatui but (somehow, probably willingly) gets captured by them in the process.
It will have big flashy animations and sad music, as though two lovers are departing.
Then afterwards it will be as if nothing happened and you go merrily merrily merrily on your way. TO NOWHEEEEREEEEE IN PARTICULARRRRR