Why do you think Okonkwo comes to the shrine? How does Ekwefi feel about his presence there?

Okonkwo follows them to the cave in order to protect his daughter if he needs to. Ekwefi has followed the Priestess for the same reason, when she sees Okonkwo show up with machete in hand, she knows she doesn't have to worry anymore. Enzinma's father won't let anything happen to her.