To be fair, there's not really a lot of downtime for them to do that from that point on. That's why they wait until Kalm to ask for an explanation in the original. The problem now is that means the explanation gets delayed to another game. The only real chance I feel like they had to ask for an explanation is maybe before they venture into the fate portal thing at the end, but considering every wacky thing that's going on at that point, I'd kind of understand them being beyond the point of bothering to ask about Sephiroth in that moment.