Maybe Eska&Desna weren' t that far from the shore they transported, for those twins to return through bending? Regardless, the question still remains unsolved: Why all three of them utilized boats rather bending at the start to get across the surface of the ocean? I'mma speculate that using bending to do the following isn't that easy than using the boats, as to me personally bending would be equivalent as 'swimming' in this particular scenario. Either it is difficult to bend yourself across the big body of water for the bender or (s)he uses up all the energy to the point that leaves them mentally or/and physically tired. While you did claim that Korra and the twins didn't show any signs of fatigueness/depletion, which is true, but you can't make that as a valid concludion, because there are few conditions unknown that can hold it on a pause and to be questioned more:
How long in minutes did Korra was on a spout?
How far were the twins from the shore, which they started to head back after Korra was devoured, after they left it?
For the first question, it appears to me she only was riding it for a few minutes, and that's too short for the bender to get tired too soon, especally since she is experenced waterbender and must know how to properly since its her avatar duty to MASTER the elements, including. Not to mention that she is fit/muscular, which may helped her there with creating spout through spinning-movement without wearing herself down). Like how bending would be equivalent to swimming, the more trained swimmers don't get tired just in a few minutes of swimming.
As for twins, perhaps they knew, as I pointed out, it wouldn't be easy to swimsurf, and they probably could predict how far/long they will have to chase her. By their common sense, in my theory that's way they used boats, otherwise it would be a bit reduntant If the methods of using transport didn't have a difference and they decide not to express their culture/gifted (i.e. bending) side. Probably for them itdidn't take them too long and too far to catch up on korra, so they probably manage to return to the shore successfully, depleted or without taking a sweat, or they happen to hitch a ride by some nearby ship/boat coincidentally that happen to be there before they could pass out of exhautions without reaching an continent/island/overland.
Korra and Unaloq happen to be AVATARS, so for avatarstate users ,that's another controversy to begin with. We all know to what degress their bending can be BUFFED at.