Shadow pinned Kefka between the statues to keep him incapacitated, so there really was no room to move in for an attack, secondly, the power of the statues had knocked them off the main platform, with no real way to even reach him. Had they even tried to climb their way back up, chances are they would have killed by all the raw energy floating about that was ripping the very ground they stood on apart; so it's not like they casually could have strolled back up and fight him. The continent was being torn apart and creating hordes of dangerous monsters. Shadow himself couldn't even attack because it was all his strength keeping Kefka pinned down, had he tried to move in for a kill Kekfa may have very well been able to regain the control of the Warring Triad and just fried him like the emperor. Also, Kefka had grown quite strong up to this point already, he was technically injured anyway from when Celes stabbed him, yet was able to keep moving about like nothing happened. I'm not sure how effective a physical assault would have been at this time. I honestly can't see how they could have mounted an attack against him and not be overwhelmingly crushed in the effort. It would have been a Pyrrhic victory at best, and would have flat out failed before it began at it's worst.