This is a matter of taste, but in my gaming style, it is Totally OK to have more knowledge than your character; this is what we call "Being Good at the Game" and it's fun. Remember, there IS such thing as skill at role-playing games; people play in tournaments to test how good a player they are, after all.
Finch address this in his "Primer on Old School Gaming" by saying that the player's skill is the character's "guardian angel"; the player keeps his character alive even when the character doesn't know better. For instance if you recognize a Wight, don't say "Let's get out of here, he's got level drain!" but certainly say "I got a bad feeling about this one guys!"
The Players May Not Want To
Part of fantasy role playing for a lot of people is being able to be larger than life for a bit. They may not want their characters to feel fear at all.
Now, in a novel this may be a bad thing, since a character that isn't believable can disrupt the suspension of disbelief. But in an RPG its not necessarily a bad thing to let the players through their characters simply feel fearless and powerful, even in the face of overwhelming odds (which in your example weren't horribly overwhelming since they won.).
Their reactions might not be quite that unbelievable after all
People can keep their fear under control. When I was in the Army, I was in an Airborne unit and we did jump training frequently. I was scared every time. I still jumped out of the plane, every time. I was lucky enough that I never got in a close quarters fire fight, but plenty of people in my unit did. Not a single one ran in the time I was with that unit. Many of them did readily admit they were scared. They didn't run and the few times I heard about screaming involved people with serious injuries.
Remember, we aren't talking about some comfortable bookkeep that has never even been in a fist fight. Even a first level adventurer has mentally prepared for battle, equiped themselves for battle, and trained for battle. By the time they have added a few levels they have seen the horrors of battle and possibly the terrors of war. They know how to stand their ground.
Sure, a good role-player, when their character faces a new, powerful threat, might add details like, "My eyes widen in terror, and I feel my heart pounding in my chest." But, especially if they have a good reason to stand their ground (like a young child they must protect...), its not actually that unrealistic for them to follow with, "But I swallow my fear, and yank my sword out of its scabard!"
Remember that 300 was dramatized and fictionalized, but it was based on a real event. 300 Spartans (backed up by 700 Thespians and 400 Thebans in real history, so about 1400) stood their ground against genuinely overwhelming odds. The Persian Army was somehwere in the neighborhood of 300,000. With odds of nearly 300 to one, the Spartans knew that they were waiting for death (indeed very nearly all of them were killed). I suspect close to all of them were terrified, most of them were young men with little experience. They stood their ground.
Best Answer
From the player's seat
Offer something the other character wants. The player knows what to do here, and she just needs an excuse to do it. Supply one. A little bribe or rationalization is all she needs and you'll be off and running in no time.
Get the GM's permission to figure stuff out in-character. That means more than just knowing yourself, but rather having the evidence to convince others. Then you can be the Cassandra running around trying to explain how the universe is tricking everyone and that there really is no certain death beyond the mists, and they can choose not to believe you as long as that's fun to role-play. When the fun wears off, everyone can give your character a chance and escape. If it's not fun, the GM and everyone else is probably looking for an "out," anyway.
Prove you're right. Cross the mists and return with proof, or whatever applies to your situation. This might mean splitting the party briefly, but at least you'll be having fun while they role-play being bored in their single domain. When you cross the mists and return, you'll be a big hero.
From the GM's seat
Don't put the characters in a dead-end situation. The whole problem can be avoided if you always make sure that all player choices lead to something interesting, and that all failures lead to something interesting.
If you're going to try to own "the story," then there will be times when characters end up in a crappy situation. Hey, it's your story: you put them there. Get them out. Suspension of disbelief? Work around it. "The magical effect wears off in about a week. Now what do you want to do?"
Make every situation interesting. So they're stuck in this domain in the Shadowfell. Make it interesting. Set up some role-playing and exploration encounters there that slowly start to suggest to them that they're ensorcelled into believing there is only the one domain. Maybe let themselves play a version of themselves trapped in their own minds, struggling with monsters and demons and traps to get through to their "outside" selves. If they can get through to them, they can wake them up and show them that there are other domains.