I wonder just how much Theodred's death truly HAS registered with Theoden at this point. He was still very much under Saruman/Wormtongue's influence at the time it happened, and so much has occurred since his healing, he may not have had the time to fully process this as reality. If he had allowed the grief to hit him as it normally would after Gandalf healed him, it might have rendered him unfit to lead his people into the battle that was already upon them. So, like many in leadership positions, he may have pushed that tremendous grief aside until he has the time and the luxury to let himself feel it fully. If he even mentions it on the steps of Orthanc, he risks breaking down and giving into grief, and that is something he does not dare do. In my opinion, of course.
