There is a deleted scene of Nancy making them feel guilty for not siding with her because she was their friend when they were alone and friendless. So, rather than turning on Sarah, Nancy forced loyalty on them by making them feel bad. Notice that, at the time of the confrontation with Sarah, Bonnie and Rochelle were already fed up with Nancy's behavior, but probably didn't want to be against Nancy for obvious reasons.
Also, there is a chance that the girls didn't want to lose what they already had, and Sarah was somehow suggesting them to "stop". They couldn't know what the effects of "stop" would be. You could see during the scene in Nancy's car, that they didn't want to see what they have become and were enjoying having power.
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