Roxas, by that point, KNEW what he was. And he trsuted he wouldn't disappear. Remember, Namine told him that he wouldn't. So he trusted her. He always wanted to know who he was and why the Keyblade chose him.
He got his answers and knew he HAD to do the RIGHT thing. And so he did.
He got his answers and knew he HAD to do the RIGHT thing. And so he did.