Well, Cait Sith starts off by stealing the Keystone from the party, so he's not winning any points there. Then he's only allowed along for the ride because he makes Cloud bring him, despite him being a Shinra spy. So no, there's no good reason to care too much about him at that point. He later proves himself useful, though.

And yes, as Psi said, the party later does find out he is Reeve. I believe it's when he allows them to listen in on a Shinra meeting.