Before I start, I'm going to warn you that this contains spoilers of the first part of season one of Utopia, because I don't feel like sticking this whole question in a spoiler tag.
In episode 1x03, at the end of the scene in Alice's house (around 44 minutes in), Arby speaks to Jessica:
Arby: Give it me.
[Jessica hands him the manuscript]
Arby: Your father was Phillip Carvel.
Arby: What was he like?
Jessica: I don't know. That's why I wanted that.
Arby: Where is Jessica Hyde?
Why does he ask her this? I get that it's a callback to him asking everyone else, but I don't understand why he'd ask Jessica Hyde where Jessica Hyde is.