Does it even matter why? They have the money, it's their concern, it's not a concern for people who aren't remotely interested in it.
I think the painting's whereabouts are pretty well known in many circles - some vault in Switzerland. As for why it hasn't come up, it was originally bought by the Saudi Crown Prince as a vanity piece, which he decided to initially loan to the Louvre Abu Dhabi, but then he himself wanted to create a new tourism economy in Saudi Arabia to rival that of the UAE (good luck with that), so he decided not to loan it, while they await the construction of some new museum (and new city) in North West Saudi Arabia. Kinda silly tbh, but for a while it was stored on his private yacht (which is even sillier).
As for its authenticity, I thought questions around it were settled a long time back - it is a Da Vinci original because it has some corrections (change of thumb position being the main one), which are only possible in a piece an original painter would do and not a mere copyist. But it's been heavily altered because it had to be severely repainted - even the back of it had fallen to termites and the painting had to be glued together.
If it turns out to be fake, it does make for a funny story, but it's a considerably less sum than what they are accustomed to. And even if it turned out to be fake, they could simply engage the seller (Sotheby's in this case) in vicious litigation and possibly even bankrupt it (there's a parallel case against Sotheby's for the same painting by the previous owner).