Shen Wei definitely knows ZYL is in danger when he's at Haixing Inspectorate. ZYL went off because 'emergency' and sent Shen Wei to represent them both, and as soon as Shen Wei arrives he gets a 'feeling' and simply dashes off.

So yes, he sensed something. Maybe ZYL being in danger. The other thing he might have sensed is Ye Zun being around, which would be the same thing only from another direction.