Connor's grown up hearing stories about RAY. He remembers his mom having to go into work on short notice when Dreamer Crimson disappeared, because it was kind of a big deal, but it was when he was relatively young so most of it felt like a fairytale. So yes. He was told they were looking for Dreamer Crimson, but also he didn't expect it to actually happen. This is the most stressful thing to ever happen to him, which is why he just drops into a crouch, drawing the blanket of shadows over his head and simply murmuring "what the fuck" to himself over and over.

This is so far out of his pay grade. His job is being a teen heartthrob, not solving the deep mysteries of the Dream Sphere.