Escape the burning by teleporting away? it seems like they could teleport to another location extremely fast. So why they still let themselves get captured or burned? like felicia or keria if you choose to allow her to go see radovid?

First of all, sorcerers need "force" to use magic. They need to draw it from certain places. Second, there is a special mineral called dimeritium, which is like a magic nullifier. There are shackles made of dimeritium, used to imprison sorcerers. This mineral can disrupt teleportation too, making it very dangerous or imposible in some cases.

Much like in the elven ruins when looking for the masked mage.