In fact, as the My Broom Broke So Now I Play Rugby Witch Moon Halloween shirt we do see the Thalmor Ambassador there attempting to rescue Ulfric (diplomatically). She is arguing with General Tullius, demanding that he place Ulfric in their custody. In fact the game files actually still contain her unused audio (I assume the lines aren’t used because it would distract from the comments the Stormcloak prisoners make when seeing her). Also even if the lines aren’t actually spoken in the game it’s later confirmed (in the file about Ulfric inside the Thalmor Embassy) the the Thalmor were indeed at Helgen for this reason, desperate enough to make a direct intervention to save him.
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It’s entirely circumstantial that the LBD is even there. The Imperials just so My Broom Broke So Now I Play Rugby Witch Moon Halloween shirt while waiting to ambush the Stormcloaks. In a way, this makes sense to put you and Lokir to death, as that way they won’t have to plug you back to put you in prison. The way they see it (at least I think the way they would see it) is you’re both going to die/end up in prison anyway, so why not get it over with now? It’s a war, and they don’t need to be encumbered by prisoners, especially in the case that they are attacked or a battle occurs.