It’s definitely possible that she’ll want to leave, especially considering that little panel just a short while ago when she literally asked to join Luffy’s crew and see the world...we weren’t shown that OR her little flashback where she teared up hearing the words Luffy and Roger spoke in common for nothing, and seeing how Momo has been reunited with all the Scabbards (none of whom seem to have died thus far), it’s not like he won’t have protection and guidance if he stays in Wano. There’s reason for her to swear fealty to the rebuilding Kozuki clan and stay on the island, but it sure seems like she’s mainly motivated to leave that place and guide Luffy to the dawn, that can’t be discounted.
Not sure why there has to be a grand Jinbe conspiracy, it could be as simple as Oda wanting him to join in this big war and just giving him cool scenes before that.