"Oh yeah, like what? I know about all kinds of stuff!"

Really though, he's curious. If there are awesome things like Zoids in his world that nobody else knows about, why wouldn't there be awesome things in other people's worlds that he doesn't know about.

That's... putting aside the whole "your world is gone" thing. Vega's just had a hard time internalizing that whole idea, so he's just decided not to think about it.