Note for those not familiar with it: "Don't know Jack" is an expression meaning New Jerry doesn't know anything.
Can an immortal know FEAR?
Yes. When an immortal has vowed to be an ally to Susan and finds themselves where new Jerry is standing, yes they can.
Also, give yourself a cookie if you predicted that new Jerry didn't actually have any special inside information.
Nanase's description is both longer and shorter than I'd like, but let's favor brevity given that we all know what happened and it could take a full page just to cover every last detail of just that one aspect of the evening, shall we?
But yeah, this is why Ellen and Nanase didn't open with this. It's a deduction, and it's an awkward to explain deduction. It was definitely something they were going to mention, but the easier to express stuff came out first.