One of the main aspects of Sing Down the Stars is a Chase. The bad guys are chasing the good guys, and in this case, the bad guy is Warden Nye.
Penn first sees him before her final performance. A warden on circus grounds is concerning, especially since Nye's arrival coincides with the disappearance of Magnus Roma. There's no safety buffer to keep him out of her space because her father can't run interference. Worst of all, he seems to know more about The Show and its performers than an outsider should.
Once Penn and the others are actually on the run, Nye proves to be an unshakable adversary, and while he may never actually be a step ahead of them, he's right on their heels so they never get a chance to catch their breath.
He's smart and he's ruthless with a sociopathic calm Penn finds unnerving. He's also a man with secrets going back as far as The Great Illusion and the arrival of the Medusae, and while trying to escape, Penn is shocked to find that Nye's secrets have more to do with hers and her father's than she'd like to admit.
The world is rarely the way we assume it to be as children, and Penn is about to get an entirely new perspective on things.