Actually, Max and Cat each have different reasons not to suspect that there's anything amiss about Hank being able to protect his mind.
At this point in the show, Hank has already revealed himself as an alien (at the end of Episode 15; Falling). It can be reasonably assumed that given Maxwell Lord's deep penetration of the DEO that he's very well aware of Hank's non-human heritage and the reason for his leaving his post.
Max: Once Henshaw and his Trusted Girl Friday stepped down, I had no one at
the DEO to trust.
It would therefore be no surprise to him that Hank isn't affected.
Supergirl is busily outlining her plan to defeat the Myriad signal with a message of hope. Alex then arrives (with her mother and Hank, neither of whom are wearing magic earrings) and confirms that defeating the signal is actually pretty simple and doesn't require technology.
Alex: And then my mother said something about my father and it was like a
switch went off in my brain.
Cat has no reason to believe that Hank hasn't had the same kind of mind-cleansing done to him that's been done to protect Alex and Eliza Danvers.