Don't think that Yan Hongxia voluntarily asked to stop; she actually didn't lose to Lu Zheng.
Her Sword Pill was incredibly sharp, and despite Lu Zheng using the Flying Sword, Cloud Technique, True Dragon Hand Seal, Western Extreme Wind-Calling Curse, and finally the Golden Palace Heart Sword, he never truly blocked her Sword Pill.
If she wanted to continue fighting, she actually could.
However, Lu Zheng had many techniques. If she let her Sword Qi be too intense, she worried about accidentally hurting someone or herself. But if she held back the Sword Qi, she would definitely be restrained by Lu Zheng's many methods.
Continuing the fight wouldn't be a friendly duel, so since neither way was satisfying, it was better to stop.
They both stopped and went to the mountain peak where the others were.
