The king felt the immense power Rimuru has and his reference to Veldora is right on many levels. Veldora is with Rimuru. And most of Rimuru's power/energy source comes from the cave that was infused with Veldora's power.
So his reaction is to be very cautious he's not against a high level enemy. After all he senses an incredible power from Rimuru, but Rimuru is confortable enough to let himself be captured, emprisoned and tolerate that farce of a trial.
Also, the king feels a bit threatened when he sees one of his former men he highly respects turning to slime Rimuru. There's some charisma and leader power threatening his own.
So he's cautious, lets the monster exit the city and starts some surveillance.
I wonder if at some points he decides to attack Rimuru's village, that would create some opposition, always nice in a story.