No, but the three (Applejack, Fluttershy, and Pinkie) would be among the first to find out each-others "situation", and all of them would eventualy deal with things in the Everfree Forest (Sire-finding, spirit-dealing, and spirit-partying accordingly). By contrast, Twilight would have a general idea that Rarity is..off during "her" stay in Canterlot, while Dash would return to Ponyville knowing something odd is going down but has no clue that the activity she is half-investigating is being caused by her own friends.