You know I suspect that S.H.I.E.L.D might actually have some idea who Loki is, considering that he was somewhat active during WW2. Admittingly he was an independent who kept his involvement as under the radar as possible but S.H.I.E.L.D (Or at least the Strategic Scientific Reserve, as it had been back during the war) seems smart enough to figure out that [i]someone[/i] seemed to be screwing with the Nazi's information networks that wasn't them.