Edward already thought he was dead, it isn't too far of a leap to get from 'Cruise ship afterlife' to 'constructed reality'- in fact, it's pretty damn close in his mind. And he'd already seen the ghosts on his way here, walked right into a floating object at some point, whipping around like someone told him there was a spider on his back trying to figure out what carried it there. So yeah, not as big of a reaction as he might have given if this was told to him from the confines of the room he woke up in before making it here.

"This Captain. You've seen him?"