There is no lore that says he didnt. We barely know anything about the inner workings and drama of the legion.
Far as we know sargeras and archi and killyj knew everything about thr nathrezim and so long as they got what THEY wanted it didnt matter. If u find out you have a double agent one option is keep em around and use that to your advantage.
And then there is the fact that the nathrezim seem UNIQUELY gifted in magical subterfuge. The books suggest the lightnound one might be a traitor to the army of light.
So its really silly to have a blatant example of how a nathrezim can be magically transmuted into a being from a different magical aspect and then suggest its counter to the lore that sargy didnt know they werent demons.
You might as well say "well he doesnt LOOK like an orc , so maybe that changeling isnt him". Their entire scticht is disguise. If that guy can become a light elemental version of himself and work with them for a thousand years then surely some demonic looking creaturs that are masters of shadowmagic can pretend to be fel. In fact the legion ones probably are. Elf biology is extremely suseptible to elemental changes, why not a race specifically crafted to be?