He knew Batty was in the elevator.
He did not know Batty was in the elevator, at least not in the script.
It's not clear if the "speaker" is an AI or a "dumb" computer system, whether it's a surveillance system at all, or what it is, but it only announces that J.F. Sebastian is in the elevator (both in the script and the film):
Quinzieme Blue entry. A Mr. J.F.
When Sebastian and Batty enter, it's at least made obvious in the script that Tyrell was not expecting Batty:
INT. TYRELL'S BEDROOM - NIGHT
Tyrell is standing at the chess board in his nightgown
staring at the pieces in a fit of concentration. He
doesn't look up at the sound of footsteps.
I....uh.... I brought a friend.
Tyrell looks alarmed.
Batty is standing in the shadows.
Tyrell is reaching for a tasseled bell pull that hangs
over his bed.
Batty's eyes are like little coals glowing.
Warned by the look, Tyrell abandons the bell pull and
reaches under the sheets for something.
To act without understanding
could lead to the very thing
the act seeks to avoid.
What's in Batty's eyes completes the warning.
Tyrell decides to heed it. If he's scared though, he
does a good job of concealing it.
In the film, this scene is slightly different: Sebastian enters with Batty, and he says "I....uh.... I brought a friend" like in the script. However, Tyrell does not look very alarmed, and he doesn't reach for a tasseled bell pull or anything (a weapon?) under the sheets; he just says "I'm... surprised you didn't come here sooner".
However, it seems clear to me that he's still alarmed here. He hesitates a little when seeing Batty. He stares at the pair and then looks away pensively. He also hesitates a little when delivering his next line, "What... What seems to be the problem?". I think the implication is that "he does a good job of concealing" his alarm, just like in the script.