Fu Qian, of course, wasn't truly bewildered, since everything about Patch was made up by him.
As someone with a mental disorder, he needed to act the part, even if all he ever heard was the neigh of horses; it didn't prevent him from playing an awakened Patch.
As for the words that came after from Cynthia, no matter the performance, one thing was certain.
She was a real tester, utterly indifferent as to whether she could "escape" Patch's mental assault.
Once that was established, her motivation behind anything she said could be attributed to her desire to probe and observe.
How could such a person easily believe his claims?
The words she uttered subsequently were just a testing suspicion of his disguise.
In response to such behavior, Fu Qian chose to cooperatively show hesitation and self-doubt, even suggesting that he needed to go down once more to listen to the horse neighing.