If Nico had been there, someone likely would have actually died and he knew it but no reason to point that out since they were clearly not paying attention to anything he was saying. He was dangerous even if they had powers to counter him. He'd end up hurting himself and not even knowing it... Not that he'd said that but mentioning you can't feel pain in a situation like this is like asking to be set up for target practice. There was so much more to his story that they didn't even know but who was going to bring up child abuse and Munchhausen by proxy in conversation? No one, that's who. No one sane anyway.
Anyhow, continuing along with his walk away from them... Although admittedly he did sneakily glance over his shoulder to see how well the angle was working but not enough to actually be obvious about it. That's why hoods rocked.