He didn't even know Arya was coming.
Yes, he expresses surprise that she came to Winterfell cause he thought she might go to King's Landing.
My theory is that Bran can only see one thing at a time. He checked up on Arya when she was at the crossroads, and devoted his attention to other things since. It'd give him some humanity, as that means he made it a point to check up on both his sisters.