Most of this question is based on incorrect understandings of processing and VR, as other answers have covered much of it. I will try to cover it a bit more intuitively, for this question.
Virtual Lucy
So, the first thing is, to separate what emerges from a system, from the system hardware. Lucy may be in the computer system, virtualised. But all that means is, a computer is running a piece of software, using data from Lucy, and the combined effect is that the software in some sense mirrors Lucy's perceptions.
When we say "Lucy is virtualised", we mean that in some sense, the program can manipulate data so that data representing "virtual Lucy" is modified appropriately to reflect "virtual Lucy" noticing things in a virtual world, and reacting to them as the real Lucy would have done in the real world, before virtualisation.
The program might be literally simulating a few trillion neurones and their neurotransmitters and connections. Or it might be running at some higher level.
(In this sense, "higher level" means abstraction - much like when you see a football bouncing towards you, you see the ball as an object, with known/expected properties/behaviours such as the way it moves or bounces. You dont really see the million dots in your retina, that make it up. Similarly as far as conscious you is aware, you dont "manage" your nervous system, even though your own brain is involved in it. You just kinda "notice" it happen..... sometimes anyhow. So an abstraction of Lucy wouldnt have to process everything Lucy's physical brain processes, just some things.)
So the program might "run" the dataset called "Lucy" by running some kind of higher level of abstraction of a human mind, not every last neurone.
It also has to do the same with the virtual world that virtual Lucy inhabits, or whatever input virtual Lucy has to her brain that provides context and sensory data (cameras? mics? hall sensors for magnetic field and direction? barometer? Whatever!).
But it's still a program doing it
That means quite a few things, some of which are explained in other answers, in more depth.
Implications
First, it's still just a program, albeit an incredibly complex one run (or instantiated in hardware) on very complex computer/s. That means everything we know about how a computer and its data or processed information works, applies here.
We can in principle, store virtual Lucy on a USB stick, and run it on another machine, run it in the cloud on unknown machines, copy it and run a billion of them on different (or same) machines, delete and undelete that data and system, restore from backup and boot up (start running) "Virtual Lucy at 8.01.00 am on 22 August 2503", and so on. The computer system running virtual Lucy might store her data in some custom chip/card, or in its main memory, or spread out across a million computers. It will manage that data and its use, in the background, however it's been told to. It will watch for data errors and correct them, if told to and physically capable.
Premise of question
What this means is that your question is premised on a lot of things that just aren't so. When virtual Lucy moves, data doesnt move around between places like a person does. It is modified like an index of "stuff we know about Lucy". The line that reads "location" changes from "Library" to "Main Street", or whatever, but nothing else changes. If you like, her GPS coordinates are updated, that's all. When she coughs, some data representing body state, emotional state, awareness, is updated, but no actual data physically coughs.
Virtual Lucy isnt necessarily aware of when the underlying system moves her data around, or backs it up or restores it, or suffers a fault,or gets repaired, any more than you are aware when your "hardware" does maintenance stuff, like grow new blood cells or move lymphocytes around, or make new neural links in the cells in your brain.
Part of the program creates sections of virtual Lucy's awareness that reflect the physical status of the machine "running" virtual Lucy (your "visual filter"). That can easily be displayed as a room or place in her virtual world., much like a car dash might display reduced values from a pressure sensor as "low brake fluid" for human use. But it doesnt mean in any sense that she is "in" that system, her environment could show her being in Tahiti or Paris and its all still data. Still running on whatever its running on, still backed up, restored, whatever, as always.
Your story
So this makes chunks of your story unworkable, at least as described.
There's a threat in the physical world that's about to turn off the power (or break the computer) while she's still inside of it.
So what? She has backups and can run them elsewhere, or reboot them when the computer is rebuilt or restarted. There isn't just one machine, perfect and pristine, and nothing else, surely? Where are the prototypes? Where are her co-workers who are developing the virtualisation software and systems?
Lucy gets a heads-up of him coming thanks to the computer having access to security cameras. She knows at all times where he is, that is until he breaks that function too.
This works, if it's built that way, and it could be.
He breaks a piece of the computer and Lucy needs to move to another before the rooms she was in disintegrates.
This is rubbish. (Sorry!). It doesn't work that way at all. Imagine you are running Doom, Blender, Photoshop, Excel, Firefox, Windows, Linux.... And I hit your RAM module with a hammer, or take a blowtorch to your CPU. What happens? Well, that computer probably just breaks, and anything running on it, stops running. Doesnt matter what software was running on it, does it? It's not like a human where you can cut off a toe and the rest of the human is 99.9% functional (barring blood loss).
But hardware can fail, so any enterprise quality computer would allow for it. Its also running in parallel on a second machine, or invisibly backed up every 30 seconds, or something. Lucy certainly wouldn't trust something this important to have zero hope of continuing and lose all current data, the first time a CPU fan overheats.
So there might be a fallback system. It might be cloud run - meaning it's invisibly shunted and spread across many computers networked together around the world. Any one of those, or any group, can fail. Ultimately if enough fails, the "virtual Lucy" program will stop running.
Depending how its built, if enough of the system powering virtual Lucy stops running, maybe her neurological functioning will diminish or slow down (it can take time to move data physically from a backup machine, or switch a backup or cloud system on, or get more compute power or RAM online available). That's possible, or not, and realistic, but a good design might avoid that.
But processing speed aside, virtual Lucy does not go "Oh, my CPU fan broke, I must move to a new place". What happens is, if the break kills that computer, then Lucy stops - or the part of the Lucy program that was running on that computer stops. if it doesnt, then it doesnt. Like your desktop, if its CPU fan seizes up, it just stops. If the motherboard goes, it stops dead. If the CPU goes, it stops dead. If cooling fails, or local storage fails... well, you get the idea.
But equally, if its an enterprise workstation, maybe the computer has redundant power supplies (PSU), in which case any software could in principle be notified by the system that it's lost one PSU, and virtual Lucy could use that input to decide she is at risk of losing the other, but virtual Lucy will still be totally functional until that happens. So it may transfer feeds and data, or take a backup and boot elsewhere and shut itself down. Or any of the above.
The program that is running "virtual Lucy" might then simply spin up another server on Amazon cloud (in effect), and reboot virtual Lucy on it, starting from her backup taken 30 seconds ago. Or maybe it was always running in parallel, and now that version of virtual Lucy is given the data feeds. Whatever.
Her three choices to get to safety include uploading herself to the web. But would it work? Would she be safe from a dangerous (albeit unknowing) assailant? That is, if she connects, she'll have access to a whole new virtual space to move to. She's unaware of where to move to (and so am I at the moment)
Virtual Lucy is just a program and data. See above - if backups or fallbacks exist, it can move to those. If it can interact with other devices and has access to a payment method, it could buy more Amazon server time and run on that.
Bear in mind that virtual Lucy and her current virtual context is a lot of data. Even optimised, even using incremental backup, it could take a long time to transfer it anywhere that doesnt have end-to-end networking at datacentre speeds. Which most dont.
but a "friendly" program sacrifices itself to tell her where to go
The notion of "sacrifice" is totally meaningless - that "friendly program" would be as able to have fallbacks and backups as Lucy would - after all, its part of the virtual world, and if we back Lucy up faithfully, we are going to have to back up her virtual world, including whatever runs it. Or else the backup wont actually be capable of picking up where it left off, which is the essence of a backup.
Anyway, where should she go?
A lot depends on the threat encountered. If someone is smashing machines in New York, then a Google datacentre in Antartica is probably not going to be within their ability to damage. if they are hacking, or cutting power or data connections, then it might. Your call, what kind of threat is the program having to outwit?