Does it surprise him? Every single thing about this surprises him. Not being dead, not being in the Halls, having Fingon here with him with neither of the former being true. The only thing that doesn't surprise him is that they are, in fact, captives. That much is, with Fingon's help as an anchor in his reality, painfully clear.

What doesn't surprise him is that once again he has failed.

"These parasites are of Morgoth's bunch I presume. Then we are not only lost but all our deeds have been for nothing."