This is already Rudeus' second life. He's gone most of it so far being grateful that he's got a second chance at all - dying as a result of divine intervention isn't anything special to him, because he knows that he never deserved a second chance to begin with.
I think you may be undervaluing the mystery of that second character Nanahoshi - what's she curious about? How did she convince Orsted to resurrect Rudeus? What the hell is going on in the background?
None of this is important to Rudeus. He wasn't even alive when a god and a masked unknown had a chat about whether he could continue playing the game or not. As far as he's concerned, it just happened, no ifs, whys, or buts. Because what is he supposed to do about it? He didn't choose to be resurrected as Rudeus Greyrat either. By the time he had figured out his past memories, he'd already been growing up as Rudeus Greyrat for years. Was he supposed to question that? He's learned to accept that things can just happen, with no real motivation or reason or explanation.
Nanahoshi and Orsted hadn't said anything, and Eris isn't in any state to talk about it, and dealing with her is a more immediate issue than asking the reasons behind his resurrection. He says this himself: "To go so far as to save someone you just killed... What are they thinking?" He immediately moves on to asking about Eris and Ruijerd. That's the pattern he has developed since day one with Hitogami: he reminds himself these godlike beings are incomprehensible, and that trying to figure it out just results in teasing and headache - so he just gives up on that stress, and he moves on with actual life. That's what he's trying to do as Rudeus - forget the stress and just try to get the most out of this life in the moment. If he got too concerned that he died, it would just break character.