That's a good use of the present perfect, actually. There is nothing immediate or even remotely future-implied about "they have gone." That tense is used to show something that happened in the past and is completed, like the ammonites 66 million years ago.

If I may shift to the subjunctive voice, what would you prefer here? The pluperfect, "they had gone," might imply they'd since returned. The imperfect, "they went" seems awkward.

Side note: for urgency and immediacy, use the imperative voice!