Of course he notices it all. The lack of shadow, the quiet words from this guy he doesn't recognize, and the strange way Sheena is acting, too. It all seems off, especially when he hadn't spoken to her too long ago. She was supposed to be somewhere else.

So, something's off. He has half the mind to ask if she's really Sheena, but nothing about her behavior seems particularly wrong, so there's no point in calling her out.

Here in the room, he makes sure the door is closed and turns to face the group with his hands on his hips, glancing between all of them. "Sure, sure!" Despite all of the mood, Zelos sure sounds nonchalant about keeping this secret. He literally waves it off, eyes landing on Lydia.

"So is this cutie pie here right, then? You guys have been off on some top secret journey?" He looks back to Sheena. "Without me? What's with the cold shoulder, hmm? You mind explaining what's going on already?"