Rodolphus told Bellatrix everything he knew about their future: the disappearance of Lord Voldemort, their time in Azkaban, their subsequent escape, the death of Sirius, the Dark Lord's rise to proper power and his eventual vanquishing by Harry Potter. This included her death and his banishment to Azkaban. "He arrived here as well," he added. "Regadless of our attempts he was pushed back through the portal that had opened." He choose not to tell her that his focus had been on keeping her younger self safe rather than forwarding the mission.
After giving her time to process (during which he took an old robe from the corner and tossed ti to her) he simply stated. "As you see their desire to appear as if they are repentant is more important to them than truth and family." He held off on his opinions of Cressida as he was certain Bellatrix would find that one out on her own soon enough.