Chapter 3 explained that very reason why. He was in a very tight position and will still be regarded suspicious since he was disguised as a 40 year old man. If he reveals he was in disguised, he's worried that they'll instantly kill him off. He's being conscious since he has his own stuff going on too. His isn't overly OP to handle all the guards / knights inside and outside the train since they seem like a strong group. If he reveals himself there, things will be difficult and some unslightly reactions. Basically, he thinks he'll be off dead without being able to reason. So, now he's just trying to make do what he can and take it all in. In the end, he can't escape for the time being as he just got unlucky.
oh no im not talking about that,(￣∇￣") im talking about casey and freuden wolfburg which would be a spoiler. They already know about his identities and stuff but he just let them think that he's the villain when in the reality he's not.
Rudger is so annoying like literally he wouldn't be regarded as a criminal if he just told the truth but he keeps on adding fuel to the firee. EVERYONE is literally going after his ass.