@Scott-and-Kathy0
I've only had a similar situation once. A young lady checked in, left some luggage, took the key, told me she would stay the night at a friend's and come back the next day. She then didn't return for a week and, for the first few days, didn't respond to any messages. Turns out she was just staying at a friend's and didn't seem to see the need to respond to me. It was only when I WhatsApped her and said I was going to call Airbnb because I was worried, that she responded. She did turn out to be extremely weird but that's a long story...
Your situation is a bit different though as the guest responded telling you all was okay. No, I don't think you need to report this if nothing else is suspicious. Who knows what his personal life is like and if he has friends or someone else he is visiting in the area. I would just keep an eye on the situation. He's only booked for two more nights and I assume your payout has been issues.
I am not sure of your hosting set up, but as you mentioned being able to see the car (I'm assuming from the home, rather than on camera?) you might be a homestay host or located next door. If so, I would suggest you do your check ins in person so you can get a sense of who the guest is and if they seem okay.