David feels terrible when Sophie is discovered, and Sophie is sad about having to run away.
In David’s community, it is not permissible to look like anything but the True Image. Therefore Sophie, who has six toes, is in constant danger. She lives in secret, hiding from the rest of her community. David has known her from childhood, and kept her secret. Unfortunately, one day she is discovered. Sophie realizes that she has to run.
'We're going away,' Sophie confided to me presently, through a mouthful of pie.
'Going away?' I repeated blankly.
She nodded.' Mummy said we'd have to go if anybody ever found out. We nearly did when you saw them.' (Ch. 5)
Although Sophie reacts by chatting nervously, David is heartbroken. He wants to go with her. Sophie’s parents tell him that it is too dangerous. David’s father is a fanatic, and if he goes with them they will be in more danger. The search will be more strenuous, and they might be accused of kidnapping if they are found.
Sophie’s parents ask him to stay behind to give them a head start. They are concerned about how David’s father will react, because he is such a brutal man. They have to worry most about their daughter’s safety first though.
David does wait, and he goes home and hopes that no one will notice him. He was too optimistic. As soon as he gets home his father immediately interrogates about the “Blasphemy” that he was seen with. David says it is not true, but his father does not believe him. He even tries to take the inspector’s whip.
When David’s father beats him, he feels worse about betraying Sophie than any physical pain.
By now it was not so much the bodily hurts that brought them: it was bitterness, self-contempt, and abasement. In wretchedness and misery I clutched the yellow ribbon and the brown curl tight in my hand. (Ch. 5)
David dreamed before that Sophie was in danger from his father. Now she actually is in danger, and he feels that it is his fault. He feels helpless and alone. You do not get to pick your parents, but in David’s case, he got very unlucky with who his father was.
There is definitely more information here about how David feels than about how Sophie feels, because the first person narration follows him. Basically what we learn about Sophie's feelings is indirect, from the fact that she is talking nervously.
She had reason to be nervous. Later on in the book we learn later that Sophie had rather a rough time of it in the Fringes and Badlands. When you are caught, you are sterilized and become part of a kind of parallel society of rejects. She may have known what could be in her future at this point. As a "Mutant" she had to have thought about it.