Agreed. Come on people, it can't be that hard to keep track of the scenes that Sayoko has been in..., she's been Geassed before and she's working for Diethard.
Sayoko actually liked taking care of Nunnaly and Lelouch since she thought they were nice, but her main reason for doing it was because Diethard put her there.
There is no harm from Lelouch showing himself to her, since Diethard is basically in love with Zero, and she would only want to serve him more knowing its him.
Of course, this just makes it another person who understands his relationship with Nunnaly other than Kallen.