Rhode didn't think that it was strange for a Dark Elf to join the Undead Army. However, he was surprised after hearing about Nell's background—she was actually the leader of an assassination squad directly under Balende, which was not an easily achievable position. It was due to this identity that Rhode instantly had a hunch that he might be able to get more information than he expected.
In fact, this was the truth. Rhode received a lot of intelligence that left him baffled.