Why did Winnie's family feel as though "some part of her had slipped away" in Tuck Everlasting by Natalie Babbitt?

Winnie is different after her adventure with the Tucks, and has changed because of her new understanding of the world. 

It is clear to her parents that Winnie has changed when she returns from her adventure with the Tucks.  They do not know all of the details.  After all, the fact that the Tucks are immortal because they drank from a spring in the woods not far from the Fosters’ house is a big secret.  However, they know that there is something different about their daughter. 

Well, thought Winnie, crossing her arms on the windowsill, she was different. Things had happened to her that were hers alone, and had nothing to do with them. It was the first time. And no amount of telling about it could help them understand or share what she felt. (Ch. 21) 

You would be different too if you had been on such a grand adventure.  Winnie led a somewhat sheltered life.  She had not been far from home before, and was concerned that she was being smothered by her mother and grandmother.  After the Tucks “kidnapped” her, she learned about immortal people and then saw a man killed when Mae hit him with a shotgun. 

These experiences would definitely affect Winnie’s behavior, and make her seem to come back changed.  The Tucks were wonderful people and Winnie learned a lot about life from them.  With Mae being in prison,  Winnie faced some internal conflict due to her part of the plan to help her escape.  This was a big decision, and while it is not legal to bust someone out, Winnie felt it was the right thing to do. 

Winnie is definitely affected by both Mae’s upcoming jailbreak and the death of the man in the yellow suit.  She saw a man killed before her eyes, even if Mae did not intend it. 

She lay in the dark, propped up on the pillows, and stared at the lighter square of her window, at the heat lightning throbbing. It was like pain, she thought again, a dull pain on the fringes of the sky. Mae had killed the man in the yellow suit. And she had meant to kill him. (Ch. 21) 

Winnie’s plan is to sneak out and help Mae break out of prison so that no one finds out she is immortal.  If they tried to hang her, they would find out.  Winnie feels that the Tucks are good people, and she is trying to do her part, but the whole thing leaves her sad, conflicted, and scared.