This sounds like very good reasoning. My roommate and I initially thought that everyone else kept away from Rollo because they found it strange that Nunnally was missing, but then there's the possibility of that fact potentially being mentioned. But given this, it might really just be because of his personality.
I also found it interesting that Rollo still referred to Lelouch as "nii-san" even in front of the Secret Intelligence Agency. It either means that he really feels close to Lelouch or that he's really into the identity he's playing out. Combining this with the locket scene (I also think his reaction was genuine), the former sounds really plausible. I'm looking forward to learning about his past and seeing how he develops.
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I also found it interesting that Rollo still referred to Lelouch as "nii-san" even in front of the Secret Intelligence Agency. It either means that he really feels close to Lelouch or that he's really into the identity he's playing out. Combining this with the locket scene (I also think his reaction was genuine), the former sounds really plausible. I'm looking forward to learning about his past and seeing how he develops.