At the time the male spoke, he did not know they were there. The female told him they were already there.
Student or Learner
Male : What time are "they" coming?
Female : "They" have already arrived
In this case, Male used present continuous. It means Male think that "they" haven't came yet. right?
and Male can say "what time did they come here?"?
I'm not a teacher, but I write for a living. Please don't ask me about 2nd conditionals, but I'm a safe bet for what reads well in (American) English.