(1) N. Korean security somehow began to suspect that some members of the band are planning to defect.
(2) N. Koreans and Chinese have been conducting some political negotiation, which fell apart, making Kim upset.
(3) Chinese did something which offended N. Koreans. For example, N. Koreans could believe that Chinese are concocting a plan, with S. Koreans, to bring down Kim's regime.
I had the same thoughts as you, re: #s 1 and 2. If any of these women tried to defect, the Chinese would’ve sent them back to North Korea. Damned if they tried and damned if they don’t.