No one knows how any individual child would react at that age.
Hiding from danger, certainly.
Her family was convinced that she would have screamed the place down (but there's always the possibility that she was somehow persuaded not to).
My own reactions at that age (and, again, children react differently) would have been to either holler, or to move directly away from the perceived danger. In the latter case, moving away could have easily been to move towards the furthest side of the bed (as that would have been directly away) with the covers over my head hoping not to be noticed.
If the furthest side of the bed had been in an open space, I might have scrambled out of the opposite side of the bed, but I very much doubt that I would have moved even temporarily towards the danger (i.e. climbing out towards the window side), or would have scrambled over the bottom of the bed to run.
Other possibilities that I find plausible (in the event of someone attempting to enter via the window) are that she wasn't in bed at the time (e.g., she'd gone for a pee), or had somehow been drugged, "hypnotised" or otherwise cajoled into compliance. Or unfortunately possibly asphyxiated.
If I'd gone for a pee, I wouldn't have taken CC with me. In any other situation, I'm fairly sure that I would kept CC by my side - even if I'd decided to hide under the covers.