It is a bit annoying how often they seem to get destroyed by everyone but looking at it objectively it kinda makes sense.
They are 'the best' line fighters in the world, look at the weapons they use, long spear and a shield, for the most part they are shit close quarters fighting tools. Simply put She is using them all wrong, they aren't a very good police force, they are highly specialised pitch battle fighters at the end when they got into the centre of the arena and got into a formation they had a lot more success, numbers might have eventually overrun their position but they could have held out till help arrived.
Dany flying off was a bit weird in the books too but they came to kill her, I doubt they'd hang around after she's escaped, how many more would die to finish off the remainder of team dany, could they do it before grey worm turns up, imo they'll just leave.