Of the few things I remember from FFVIII, I do recall him saying that he's the only person who remembered that Edea was their Matron (since Galbadia doesn't use GFs, if I recall). He just didn't want to reveal that to the rest of them. I don't remember if he explicitly tells them that once they undergo the whole orphanage thing, but it's pretty obvious besides. At the very least, I've always seen 'stage fright' as an excuse not to tell them that information.