Yep Shion being naive in her thinking, probably traumatized or have bad experience with people pretending to be good but are d*uchebags.
Also Utena seems to not know the Magical girls identities just yet. Utena I think was angry due to thinking Shion dragged in innocent people (Sayo+others + the little girl shion herself > Sayo being the closest of her so-called normal friends), yeah funny how magic recognition/inhibition works. Shion and her group target the Villains and the magical girls [no innocents]
Utena would probably be shocked, fangirling and faint afterwords if she knew the magical girls she admired where actually her new recent friends. [Not sure if Utena knows this or not, the others in her team might or suspect though? So can anyone provide me any sources whether or not Utena knows the magical girls identities if I missed it???]
Sayo seem to somewhat suspect Utena might possibly be Baiser due to her finger technique but no proof besides that lulz...