Just guessing, but I'd assume the pyramids don't work between "zones" and Black Cove is likely considered a different zone than Cyseal. I base this on the fact that (playing duo) if one of us enters Black Cove the other player is forcibly teleported along, as opposed to if one player teleports within parts of Cyseal, the other player can stay behind. Same thing going to/from the End of Time, for instance; if one player goes, the other (and the entire party) gets teleported as well, whether they're linked or not.
I do rememnber the game saying something about there being a limit to the range of the pyramids or some such.
