Naoto didn't name it, alright. (It is rather ridiculous, but then again, so the the Midnight Channel.) As long as he's following her, she doesn't care so much if he believes her. Convincing will wait until it's clear whether or not he has the potential.

"Looking for other people who might have been caught up in this. And to keep moving." Unfortunately, if her understanding of the hour is correct, there likely isn't a good place to hide out from Shadows- though they are less abundant than in Tartarus.