

Bed bugs are good at hiding. If there’s one, either it hitched a ride with you or someone else, or there’s more hiding nearby. Look all around the mattress, sofas, etc. maybe ask the pest control guy for a thorough inspection.
As far as leaving… well, depends on your rental contract whether you’re (legally) allowed to leave at a moment’s notice. Also, once again, you’d still have to take a lot of care inspecting and/or sanitizing your belonging, or getting rid of them.
On the positive side, bed bugs are annoying but they don’t transmit diseases like e.g. mosquitos or ticks.
Source:
Do your roommates and other tenants enjoy living with bed bugs? Because either they were there already, or if they came with you, they’ll eventually spread to them as well.
Assuming they don’t enjoy living with bed bugs, maybe work together with them to find then and exterminate them, including asking to allow pest control to check their place.
If they think as bed bugs as cute pets and don’t want to get rid of them, then seriously think about leaving. Maybe check your rental contract for a way out, e.g. if landlord not getting rid of bed bugs is a breach of contract or something (again IANAL, chech with people who know how this works).
Edit: based on your edit than you don’t care about legal consequences… then yeah, if your roommates don’t cooperate, then just leave. I’d still look for a legal way to exit the contract, if there’s one, but that’s me.