NPCs will always find a mundane explanation for everything that is strange! In fact, most of them don't really have a desire to leave the city, stating that they have everything that they need in Vitae. Furthermore, if any of them do want to get out, they'll always run into issues that prevent them from leaving, such as their car suddenly breaking down, vacation being cancelled, and such on.

Characters will quickly find out that their actions will affect the city and that completing missions will bring positive outcomes. However, they won't understand why or how it is happening, so it's definitely more of the latter - their reality has changed and they don't understand what's happening. As the game progresses, they will hopefully be able to discover the reason why they were chosen.

I hope that answers your questions!