If they have the capability to teleport in, I would let them. To do otherwise would unduly frustrate the group, with no gain for you or them.
I'm not sure how they could exploit this tactic in the future, scrying requires familiarity with the person or object to be viewed.
To be honest, HoHR doesn't really add much to the overall storyline of AoW (unless you happen to have a half-drow changeling in your group, but that's a story for another time). If the players manage to circumvent it, then they can either go on another adventure (one where they actually get to keep all members of their party with them) or you can skip ahead to the Champion's Belt without too much difficulty.
And even if they do get their friend and teleport out - the mind flayer and gang are hired mercenaries, with a reputation to protect. Who's to say they won't try again, this time with some dimensional anchors or screens in place this time?
I think you should let the party do it, but there is a chance of failure for teleporting based on the level of familiarity created by scrying. Make the caster roll the d% himself, to emphasize that this procedure is not risk-free. And the party has to have something connected to the party member in question to be able to scry, like a piece of clothing, a lock of hair, or some other possession. I'd enforce these two rules strictly, and if they meet them and still succeed, then more power to them.
Once they teleport in, though, have the dops in the room raise the alarm, so that the other doppelganger minions, and perhaps even Telakin himself join the fray before the PCs can untie their comrade and make their escape. Even if they can teleport out, it will take some doing for the whole party to join hands in the middle of battle and the caster to cast the spell successfully, all with a bunch of doppelgangers taking attacks of opportunity.
Zyrxog might show up as well, as all this is going on, although I'd wait until the other enemies are mostly dead before having this happen.
And if all else fails, Zyrxog and Telakin are still after the party, as the poster above mentioned. If the PCs fail to take out their enemies, their enemies try to take them out again. This can even continue during the run-up to the champion's games, if you want.
Bottom line: It's perfectly reasonable to let your party bypass a tough challenge with spells, and you might even award some XP for doing so. But in this case it doesn't obviate the need for the PCs to clear out the nests of their enemies, the way this adventure is structured.
HoHR is for levels 6-8. A wizard would have to be level 9 to cast teleport. What level are your PCs? My group is just about to start HoHR and they just reached level 5!
I'd really think about a side quest to boost PCs up a level or seriously reduce the difficulty of the encounters if you expect a level 5 party to survive HOHR!
I'd support that theory. The octopus alone nearly TPK'd my 7th level group.
That said, scrying and teleport is an ingenious method of recovering your lost party member in order to assault the hold at full strength. (You could tempt the party back down there by suggesting the kidnapped PC might want a smidgeon of revenge?)
I also completely agree. A single mind flayer can wipe the floor with a group of 5th level PCs, and one with class levels and magic items is just over the top. Even reducing Xyrzog's levels probably isn't going to stop him from eating everyones' brains once he starts mindblasting and dominating. Additionally, Telakin himself is no slouch, especially if played properly (best of both worlds- spells and then rage. I'm willing to bet quite your PCs haven't had to face 4th level spells yet, and this alone can warrant considerable caution. Therefore, let them go about their plan, but don't make it easy by any means. Its completely plausible to have them fighting a dozen or more doppelgangers at once, especially if you bar the secret door that leads to the main living rooms. Force them into the maze, and have fun. If done properly, the mirror maze can be a unique experience(works good with doubles of minis and spot checks against reflections, sense motive against dopplegangers), and its honestly an easier to pace fight than going the other way out; I think you're less likely to TPK than fighting the octopus and invisible stalkers back to back (unless one of them's a spirit shaman:))Even Telakin can be easier to kill than an octopus fought by an ill-prepared, already wounded party. (My PCs actually made mincemeat of it, but were of appropriate level and love using freedom of movement spells at every opportunity.)