He does, and she tells him a bit about it!

"...so, you dreamed about a dragon?" Rias asked, her hand on her chin as her eyes narrowed.

"Is that some kind of bad sign?" Asia asked, but Rias shook her head.

"No, it just means Issei made contact with the entity within his Sacred Gear. Ddraig, a feared being known as the Red Dragon Emperor," Rias replied. "This is a good sign, it means he's growing stronger. And there may be more abilities in the Boosted Gear that Ddraig can help Issei learn to access," Rias noted.

"So dragons exist too, huh?" Issei asked, looking at his left hand.

"Yes, yes they do," Rias nodded. "They are prideful, greedy creatures that hoard things they consider treasures. They are also fond of females of multiple species, believe it or not, which may well be the root of your perversions," she added.

"...yeah, he warned me to get stronger faster," Issei added. "Said many would covet the things I have... But aside from the Sacred Gear, what do I even have that others would covet?"

Even Asia gave Issei a flat look at that question. "Umm.... You know... The lamp that holds a literal wish granting genie?" she deadpanned.

"...oh shit, you're right!" Issei face palmed. "Shit... At least for now though, no one else knows, right?"

Rias grimaced. "It won't be the case for long, and I'm not just talking about the Fallen Angels. I'll need to talk with my brother soon, and he's bound to notice I'm different... But we can go more into that later." She looked at the clock and pouted. "Darn. This whole thing cost us the time we might have had for some fun. Time to get ready for school," Rias sighed, getting up. "I already made the arrangements for Asia to transfer to Kuoh University, so she'll come too," she added to Issei.

Issei nodded, and they proceeded to get ready for school.