Because the door to the stairs locked by itself. As soon as Tobias closed the door Gumball freaked out, & then later Darwin said he had Rocky get the keys

I assume they're talking about the external staircase, which goes around the building.

Ohhh yeah. Does that really go all the way down though? I thought that just lead to a different part of the roof

Yeah, that's true.

No it goes to the bottom

They went to a different part of the roof where Gumball tried to fake push Darwin into a fan. It wasn’t the ground lol