Well, I’m not sure. We’re going with that Thierry tries to keep Theo out of everything. Theo’s job at the Louvre is safe, and Thierry tries to stop him from going in the field (maybe Theo’s official requests are always mysteriously denied), 

and I don’t know if Thierry would’ve even told him that a) Nick is missing and b) that he’s leaving to get him. Like leaving a voicemail ‘I’m going on a field mission take care of my plants bisous”

I don’t know what Sabrina tells him, either. To Theo, his sisters are prob dead, as they maybe are to the goverment? If Theo doesnt know about HM then how can he hold out hope/search for them? In a sense, if he found out what his parents have been keeping from him, I don’t think Theo would like them very much.

So unless Sabrina takes pity on him and decided to rope him in more, he’s in the dark (and feeling extremely betrayed)

Edit: unless we think of something elss to involve Theo