Yes! That one's a total gut punch. (I think that's partly there to mislead us into thinking Zhao Yunlan has lost his memory, like Li Qian's Nana.) And you know, whether or not Shen Wei knows ZYL is Kunlun, it certainly must feel like that.

(I think what you see as doubt about whether it really is Kunlun, I see as warring between Shen Wei's logical self and his feelings/yearning, fwiw.)