[HerenIstarion]

Well, why should not he surprised - the information he's got comes from what he was able to pick from Frodo's mind, and he knows for sure Frodo has decided to go alone. Later events, though known in more general form, are lacking detail for him. One of his sources is Gwaihir, but he could not discern things unless they are on the plain. If Sam is to be left by the Rauros, Gwaihir has no way of seeing him, as he has no way of seeing Frodo among the cliffs of Emyn Muil. So Gandalf, as he have seen it happen, knows that Merry and Pippin were picked up by Treebeard. Furthermore he knows that Aragorn, Legolas and Gimli are here in pursuit of orks. But Sam is not a marathon runner, he could not possibly followed three hunters at such distance and speed. The logical conclusion is:

A) Frodo went alone
B) Aragorn Legolas and Gimli left Sam behind

There is of course a suspicion that Sam is not easy to get rid off, but there is no knowing for sure, hence:

''Did he indeed? It is news to me, yet it does not surprise me'

For though it may have happened so, it is no knowing for Gandalf unless he's told