It isn’t that he has no idea what is going on, it’s that his interpretation of the events that are unfolding around him are completely different than everyone else. He doesn’t believe in the cult or whatever nonsense he spews, but he does believe he’s dealing with bandits and other nasty criminals.
Sometimes he is on the same page as everyone else, minus some information because “Shadow-sama already knows” so while technically it wouldn’t be wrong to say he doesn’t know what is going on, it would be more accurate to say he misunderstands what is actually going on. It’s a minute difference, but an important distinction regardless.