Why did Brain ask Brendan about letting Dode go back to the theater?

Well, Actually Brendan never told to Brain that he let Dode to go back to theatre.

Brendan told Brain about him tailing Dode, and that Dode went to the theater, just before the scene started.

If you notice, at the beginning of the scene with Brendan and Brain talking, Brendan was pacing back and forth (as if he was already deep in thought), and Brain was already holding/examining the torn piece of paper with "A" looking symbol on it.

Also, the dialogue of the scene began with Brain asking investigate/analytic questions about the motivations behind Brendan's actions, and what else Brendan knew about the symbol on the torn paper, as if Brendan had just explained it all to him.

BRAIN: Know anything else about this?

BRENDAN: Mm. (shakes his head)

All of this suggests that, just before the scene began, Brendan was catching Brain up regarding what happened since their last meet up, with Brendan's main intent being to ask Brain about the symbol on the piece of paper. In order for Brendan to do so though, he first had to explain the series of events that led up to him acquiring the torn paper, which would have included:

• Brendan's conversation with Laura at her party;
• Interrogating Dode at the coffee shop;
• Tailing Dode to see him first meet with Emily, and then go to the theater to speak with Kara;
• Brendan meeting with Emily at his lunch spot;
• Acquiring the torn piece of paper (that had the "A" symbol) that Brendan saw Dode give Emily.

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Additional context:

In response to Brain's question as to why Brendan didn't follow Dode into the theater, Brendan explains that if he tried to eavesdrop on Dode and Kara's conversation, he would have been seen by someone and Kara would know about it. Instead, Brendan thought it was best to not interrupt their current actions/plans, and to see how things play out before making the next major move.

THE BRAIN: Slim pickings. Why'd you let Dode fly when he came back to whose-her-name, at the theater?

BRENDAN: Kara. It's their turf, I couldn't hear them without being seen, and that would only biff their play. Best to know it's there, let it ride and see what comes of it.