Didn't Nicholas have a habit of letting others impart unpleasant information and not liking confrontation....family members not excluded. I actually think it shows a respect for Olga....allowing her to handle the situation in her own way with Kobylinsky and without being told what to like a child. She decides to hand over the gun , she isn't told to by either men. That is due Kobylinsky's kindness as well, when he pleads his case and does not order her to hand it over , as he well could have . In this way the benefits of the gun remain intact even as the gun is given up. ( that is ,a a sense of self determination remains ) In any case the story says Kobylinsky went to Olga to retrieve the gun and not her father. Are you saying Kobylinsky learned of it another way once Nicholas was gone and that is why he went to Olga about it instead of Nicholas?
If Nichloas told him, then I can see Kobylinsky saying it must be put in his keeping. He knew what such a discovery by someone else would mean. His health was being ruined by trying to keep the guards calm, a moment to moment challenge as it was . Nicholas hesitates about what to do, Kobylinsky says, " Sir, I will see to this". It has to go to Kobylinsky in any case. Nicholas looks at him and nods. Whether Nicholas told Kobylinsky because he felt the gun was now a danger...or he had come to see Kobylinsky as a something like Dr. Botkin figure and simply confided in him is an interesting topic . I rather think it was the increasing danger the possession of the gun posed and the problem of what to do with it. Getting the gun from Olga was only half the problem. Kobylinsky seeing to it was the answer
