It's a big city. Maybe the biggest, being the capital. So, there's room for two mages. Kagura doesn't look like a sensory type, anyway, proven by the fact she needed to see Jellal without the Mystogan mask to even realise he's in fact her nemesis. As long as they don't end up in the same room, Jellal should have nothing to worry about. And even if they did, he could just leave using Meteor.