How the Joker leaves the party matters because Batman is at the bottom of the building and could, theoretically, try and stop them. There are a limited number of ways they could exit that building and we don't get an explanation for how they left or what Batman does about it. Does he wait at the bottom of the building while his guests (not to mention Alfred) get murdered? Does he rush back up and they're gone? Did they leave right away?
It might not be a plot hole insofar as it doesn't go against the established logic of the film, but it is a narrative gap that could have used a little filling.
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