Yes, exactly. If a character says something on a TV show -- i.e. "I don't know his identity and I don't want to know -- does that automatically mean it's 100% true and must be the status quo from that point on? Does every character always tell the truth in fiction? He might claim he does not know, but deep inside, he very well might and just doesn't feel the need to let on.
Also, have TV show and film writers producers always been completely truthful when giving information about projects? I seem to remember the very same producers and crew indicating that Harrison Wells was a completely new character and not from comic book lore, and yet, he is the Reverse Flash.
Finally, as to the indication that Lance will find out the Arrow's identity in Episode 19 "and the answer might surprise you"...I can easily see that reveal being something alone the lines of "I've always known". We'll have to wait and see.