Continuity mistake: When the aether enters Jane, just before she ends up back on earth, she is cross-like in a sea of red, but she is wearing a breastplate. She does not get given this until she is taken to Asgard 15 minutes later.
Other mistake: When Kursed Algrim stabs Frigga, the sword goes in but doesn't come out.
Continuity mistake: When Thor, Loki and Jane make their escape from Asgard, Jane is lying on her left side. The following cut, she is on her right side.
Continuity mistake: The wounds on Thor's forehead change from fresh to dry then fresh back again, and even become larger in the last fight.
Chosen answer: The Tesseract on Earth posed a great threat to everyone. Thor wanted to get it and Loki to Asgard as soon as possible. If he first had to track down Jane in Norway, that could take a while and leave the Tesseract vulnerable.
Friso94