Hetty told him there were "a lot" back in Season 4 ("Ravens and Swans"), so he's known that for at least 7 seasons. One reason Hetty may not have answered his question at the end is because she's simply lost track; she did that for a lot of years and obviously hasn't kept track of everyone. As for feeling like he's her son, she's gone out of her way to tell him several times that she doesn't have favorites, so while he may "feel" that, she's never let him know how she feels about him--which is too bad. Especially since he learned about Darius just before his dad died.
I was really disappointed in this episode. I don't know if it was intentional, but this episode seemed to rip off a lot of other episodes as well as Skyfall and the Bourne series. Maybe it was supposed to be a sort of tribute? I mean, Natasha was almost a ringer for Fatima Khan from "Collateral" in her looks and reason for joining Ahkos, the escape from the warehouse was not only like Kensi's in Season 2 but also like the one by Callen in Season 1. And for an episode that was supposed to deal with the effects of repeated exposure to violence and committing violent acts (according to Eric) on people who are in dangerous careers, there was very little of that in the story.
And the "plot"? They wait for Natasha to show the writing before issuing security protocols? And when Hetty is given her marching orders, only Sam and Callen go to make sure she's safe? Why didn't Kensi and Eric go? (Guess they're waiting for Eric to discover the booby-trapped warehouse.) And Callen and Sam didn't notice the helicopter? Seriously? The power went out in OPS, the sun didn't set. The entire Densi scene made no sense and had NO relevance to anything going on in the rest of the story. (And the booby-trapped warehouse didn't seem like the modus operandi of the killer who butchered a guy and cut him in half, and how convenient that he just happened to have that wedding photo). The warehouse was just one more excuse for a Densi angst scene when the time would have been better spent with Ahkos and Hetty. (And does anyone really think Natasha would have been turned so quickly by Rogers? Rogers?)
The best scenes--the only scenes I found worth watching really--were the scenes with Hetty and Ahkos, Callen and Sam, and Callen and Hetty. For me, those were the only scenes that had any meat to them and really delved into anything that mattered.
I guess the next episode "answers" some questions, but it also has another Densi scene where they discuss their future--again. Seriously, I am sick of those two because they're like someone who's always yelling--after awhile, I just tune them out.