We're both sad to say that neither of them will concern themselves too much with the sense of possible impending danger that lies behind the door.

However, before they open the door, Lumine will make sure that she has her wing glider equipped and ready with her sword drawn. Meanwhile, Sabo will encase one of his hands in fire for light (obviously) and have it hover above his shoulder to be able to quickly grab his pipe if needed.

Sabo will be the one who is opening the door, and doing so slowly.