The alliance between the 3 was pretty informal, As Demandred said

WH
Wonderful News

"Where is he?" Demandred growled, clenching his fists behind his back. Standing with his feet apart, he was aware that he dominated the room. He always did. Even so, he wished Semirhage or Mesaana were present. Their alliance was delicate — a simple agreement that they would not turn on one another until the others had been eliminated—yet it had held all this time. Working together, they had unbalanced opponent after opponent, toppling many to their deaths or worse. But it was difficult for Semirhage to attend these meetings, and Mesaana had been shy, of late. If she was thinking of ending the alliance. . . .

Seems to me that while the clearly coordinate they aren't a completely united front. Graendal tells us later that they even think they can keep their little alliance from the others...

TGS
Prologue

Her speculation was cut short as footsteps announced other arrivals. Demandred entered though the doorway to the south, and he was accompanied by Mesaana. Had they arrived together, then? They assumed that Graendal did not know of their little alliance, a pact that included Semirhage. But honestly, if they wanted to keep that a secret, couldn't they see that they shouldn't answer a summons together?

Obviously they don't move so openly as to be attached to the hip, which Semirhage and Demandred would have had to have been if they were both operating through the Seanchan.

Certainly it's not impossible that they were both there, but seems more likely to me that Demandred, Semrihage and Mesaana each carved out their own independent areas of influence.