If you suspected your security consultant, what would be the point of slipping them tiny hints about what you've found? If they're the source of the intrusion, they already know. If they're not the source of the intrusion, why fear them when you've already been compromised? Also, if you suspected the consultant, why hire them to do the security review?
I suspect the real reason is probably simpler: they have strong personal or financial incentives to "not have known" about the intrusion before the researcher discovered it.