Cesare's still young enough to automatically believe in miracles and magic--if they're presented to him properly. That whole "I'm the embodiment of a country" thing sounds crazy to him in theory but the soul ping seemed real enough. So he pretty much just decided to accept it. Some things are beyond proper understanding (although he really, really would like to understand).

Cesare is very interested in talking to Spain more. While I think camp will eventually start to confuse this, in canon he is very pro-Spain because of his father and that side of the family. He really wants to know more about what will happen in Spain~ Apart from the omgcountry, he thinks Spain is friendly and... yeah, okay, he's mostly just hung up on the omgcountry.