Hi and welcome!
If Coco is used to living in a hutch, then it will help to place a sheet over the cage to give her an added feeling of security until she has settled into her new home. Please be aware that that a home environment with all its new noises and smells and its much increased human interaction is a very challenging environment for pet shop and breeder piggies. Give her time to get her bearings! Seeing Marshmellow bounce around and not be harmed will help her come out sooner rather than later.
The world is all new to your baby anyway, and she has the security of an older companion, which is her overwheening need at this age; so she is much less affected by it.
Please take the time to read the guides in our human interaction link below. You may find them very helpful and interesting! They show you how to understand the guinea side of it, how you can work around prey animal instincts and use their own social behaviours to interact with your piggies in terms and in a frame that makes total sense to them. When you invite them to become a beloved part of your own group, you move from predator to a kind of giant piggy and give them a place in your own hierarchy from which to settle from.
Settling In And Making Friends With Guinea Pigs - A Guide
This link is just one section of our new owners guide collection, which addresses in practical detail all the various issues that we get the most questions and concerns about. You may find it very helpful for as smooth a start and as problem-free a long term ownership indeed:
Getting Started - New Owners' Most Helpful Guides