I'll admit that, shall we say, darker thought didn't occur to me at first, but I do see where you're coming from there. The likely reason it didn't occur to me is that, well, Brazil doesn't really have much in the way of creepy cults, IMHO (I may be wrong, and please don't take this as national posturing. We may have no crazy cults, but we don't have Dr Pepper, either... :( ).
I'll defer to Nothingsp on this one, but I do see your point. However, there is one tiny incoherency that should be solved somehow, even assuming no one goes visit the parents to give them some explanation: The DVD Lucas gave Harriet: She asked that Neruite saw that Harriet's parents get at least some explanation, even as a means to avoid the "a stranger gave her a gift" stigma. Sending someone to give the parents at least some explanation on the origins of the gift would be rather important in a "cover her own ass" kind of way.
An other alternative I can think of is for Lucas and Cass themselves to go there with Harriet and try their darndest to give the (right now emotional, distressed, likely rather paranoid) parents of a kid that had just spent a month disappeared some coherent, reasonable explanation to what's going on. However, in my opinion, that's opening a can of worms the size of Montana, as:
1- Unlike the gods, Lucas and Cass can be easily arrested by the law enforcement, despite the very objections of Harriet - in fact, should Artemis object to it in stronger terms, it would just reinforce the belief of the parents that whoever "kidnapped" her is BAD NEWS. Incidentally, since they did not see who "kidnapped" her at first, jumping to the conclusion that Lucas and Cass did so would be rather easy.
2- Unlike the gods, Lucas and Cass have no special persuasion skills or powers.
It may be possible to go down that route, but one would have to be very careful for it to be believable and for between three and five characters not to get into a HUGE fight.
Then there is the "do nothing" alternative, which would have Lucas being told why it's not possible for the gods to intervene. Lucas would, in turn, beg Harriet not to tell anyone where she found the DVD, which, in itself, would feel rather dickish for Lucas, but it would solve Lucas's main concern: covering her own ass (especially as she didn't really do anything wrong).
The nice part of using an "author avatar" is that you can sorta predict the character's reactions. :p