The Xue Family really did go to Tiantong to inquire about the relationship between Tiantong and Feng Jun.
Tiantong's answer was quite formal, saying that Feng Jun was an important business partner of theirs. Chairman Huang Fu of the Eastern Branch in Donghua Country, Mortal Realm was the intermediary contact.
Moreover, the Xue Family wanted to find Huang Fu Flawless, but she had recently been absent from Fang Market because she had gone to handle matters regarding the Heavenly Heart Reward Command Token.
Before seeing Huang Fu Flawless, the Xue Family absolutely didn't have the guts to act against Feng Jun—they couldn't even confirm how their two High Tier Qi Refinement cultivators had died.
Master Xu could also guess that the Xue Family wouldn't act against Feng Jun in the short term, so he didn't mention it to Feng Jun—this wasn't his business, so why should he force his involvement?