Jason watched the way Sergei, Marilyn's father, was shouting at his men on the phone. He didn't need anyone to tell him that this was about Marilyn, and right now knowing what Alex told him about her, he felt uneasy knowing that there's a big fat chance that what he was saying was the truth.
Lucifer's name was the only thing he heard her shout that night, before he walked into an empty room. Besides, there's no way any human intruder would have walked into this heavily guarded estate, and none of the cameras were able to capture him leaving with her.
So yes, it was time to believe Alex's words, so without anything else to prove that Marilyn had either run away, or had been abducted by anyone if not Alex. Him mentioning the fact that polina is alive and has been abducted by his stepson, only made this unbelievable for him.
