Lan was actively trying to prevent them from being followed too. Nynaeve is a seriously impressive tracker. It's an attribute that gets a little lost as the series progresses, but she does some active scouting and sneaking in the early books and it's something I've always loved about her. She's...
Someone earlier in the thread mentioned why Nynaeve fell for Lan and implied it was basically, because he was there. I definitely saw their relationship differently. He noticed her first. He respected her tracking skill, something she was proud of, but didn't fit her "profile" as the Wisdom, so...