As far as I know, we didn't miss a thing. I watched the episodes a few more times and there's just nothing about Suzaku, Nina or Arthur. :/
I think, for one, that it was because Euphemia is obviously Britannia royalty whereas Lelouch and Nunnally were (officially) both outside of the succession line. But the other...is probably because he was being a boy trying not to speak of his crush lest he wished to get teased by everyone. Lelouch was absolutely flabbergast (and enraged, of course) when Suzaku suddenly became Euphie's Knight too. So... I just don't think Lelouch knows of any Arthur -> Euphie connections.
Edit: Or nayami has a better explanation for the latter.
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I think, for one, that it was because Euphemia is obviously Britannia royalty whereas Lelouch and Nunnally were (officially) both outside of the succession line. But the other...is probably because he was being a boy trying not to speak of his crush lest he wished to get teased by everyone. Lelouch was absolutely flabbergast (and enraged, of course) when Suzaku suddenly became Euphie's Knight too. So... I just don't think Lelouch knows of any Arthur -> Euphie connections.
Edit: Or