Lead 
Terra and 
Locke across the desert to Figaro Castle.
Walkthrough
In the castle, talk to the people in both wings and find 
Edgar on the throne. The story advances after speaking to him and exploring the castle. Rest when offered, then go outside during the attack and follow the escape.
The pursuing Magitek Armor fights as a pair. Edgar’s AutoCrossbow can strike multiple enemies, while Terra and Locke attack or heal. Once the chase ends, the chocobos carry the party away from the castle; dismount and continue through the cave.
South Figaro has shops, an inn and several houses to explore. Buy basic healing supplies, then leave to the north for Mt. Kolts. 
Shadow can be met in town; his optional paid hire is later in Kohlingen.
Checkpoint
Inside Figaro, speak to the woman reached from the left side of the castle, then return to the throne room to continue the sequence. After the chase, the cave lies south of the castle. Some early cave chests and South Figaro’s loose container items change as the story advances; choosing to wait is a reward tradeoff, not a requirement to advance.