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There's no curiosity about that. He knows his nephew story is not true because as I said before....he knows what really happened.
This view actually goes both ways. The other possibility is he knows the story is not true because he knows what really happened inasmuch as Dassey's original story is the true one - that they were together after 6PM, built a bonfire together, Avery got calls from both his girlfriend and Brendan's mom, Dassey helped him clean up some transmission fluid in the garage that had been spilled earlier in the day when Avery was working on his project car, and that around 10PM Dassey went home.
If you're Avery (and innocent) and have the history he does with local law enforcement, when they say, "Brendan confessed" it wouldn't be a surprise if your internal monologue is, "Whatevs, no he didn't...you guys lie all the time to get folks to talk" followed closely by "If he said that it's because you forced it and I know what really happened - he'll recant because that's not true". There's no reason for Avery to flip out at this news necessarily.