Great question! I think it's a little column a and a little column b. Ultimately, it comes down to what you think would most work for your table, but I picture the scenes still happening, and we leave it open for interpretation whether or not it's all in the explorer's head. As to whether the explorer knows the identity or not, I'm a little torn. You could have them talking to the cloaked and gloved figure described in the layer one scene, or you could have them talking to someone we as the audience just can't see.
This Mastermind really revels in the difference of character/player knowledge, and in the case of the explorer it really could be that the character knows (but the player doesn't), and for some reason isn't saying anything to the other characters.