I have this headcanon that Azula was at the door listening when Ursa gave Zuko her ominous goodbye “I love you, don’t forget who you are” message right before she left. When Ursa finished, Azula quickly darted back to her room and pretended to be asleep as she waited for her mother to come give her her own farewell. And she waited there pretending to be asleep for hours, until she was woken up in the morning and told that her mother had disappeared. Ursa never came.