because he has to for now. FUG. He now know Baam alive so he will try to find out why Baam is acting weird and try to help.
Fug already knows about Koon so him acting like he doesn't know him wouldn't matter at this point. Koon was on the list of folks FUG originally threatened Baam with PLUS if FUG was watching Baam closely enough to know his every move like this then all of his friends would've been killed the instant he went to save Horyang.
Also, Horyang ain't dead. Ole girl is selling wolf tickets to try to get Baam to kill any and everybody right now.