Although the human members of the group are a bit miffed by the news that they probably aren’t real, it’s only really Bender that seems practically shaken by it. For Bender, the issue is not that the he might be fake; it’s that he’s definitely not real by the standards of his own universe. Even if his universe turned out to be legitimately real, Bender himself is burdened with the knowledge that he himself is still artificial intelligence. He was programmed to act this way, so he knows an argument can always be made that he’s not a real person. (As to why any corporation would ever program one of their robots to act like Bender? That’s a question for another episode.)
Bender’s addition makes for a fun twist on the usual sci-fi premise, creating a fun back and forth between characters who think they might be fake and a character who knows he is. Much like how the concept of cookies in multiple “Black Mirror” episodes taught us that we should still empathize with fake people in simulations, the often-apathetic Bender is the only one who cares about the lives of those people in the lower simulations. After all, how could Bender possibly believe his own life is worth living if he doesn’t also believe that these simulations’ lives are still meaningful? It’s what motivates him to travel down to the simulation and break the bad news to them, and it’s also what possibly leads to another Bender (from the world of whoever’s running the simulation one level above our main characters) to come down to their level as well.