"He has." Their conversation shortly after Robb's arrival had covered many topics, although Robb hadn't provided many details of this, specifically. Jon had heard about what had happened; while the news would have made its way to the Wall eventually through some means, he'd gotten a raven bringing news of his brother's fate.

That hadn't been it, though, and it's probably better if she's warned about some of the quirks of this place before she experiences them for herself. "This place sometimes will share memories of things that happened to the residents. We can't stop it, we can't choose which memories it shows. It's like a dream shared with everyone. Robb's shared memory was of the wedding and what happened there."