True, it is a difficult needle to thread, but not impossible. As far as the big picture goes, it’s a matter of Kylo not wanting to be beholden to Palpatine, but not necessarily not trusting him, either. He could still think that Rey is Palpatine’s granddaughter because that’s the only way he can rationalize Rey being as powerful as she is. Or he believes it because Rey believes it. I’ve hammered out the hangar scene again:
Kylo: Rey…Wherever you are…you are hard to find.
Rey: You are hard to get rid of.
Kylo: I pushed you in the desert because I needed to see it…I needed you to see it…who you are. Darkness is in your nature. Rey…
Rey: You’re lying.
Kylo: You said your parents were nobody. The way I see it, the only liar here is you.
Rey: Don’t!
Kylo: I’ve been inside your head. Are you afraid to admit it?
Rey: I don’t want this!
Kylo: Search your memories!
Rey: No!
Kylo: Your parents. See them!
(Rey sees her parents protecting her, and their death)
Kylo: They paid for your protection…in more ways than one.
Rey: Stop talking.
Kylo: Rey…they were protecting you from Palpatine.
(Cutaway to heroes capture)
Kylo: Think about it, Rey. About how you’ve grown so powerful, so fast. About how our bond in the force could be created. And yet you still resist the truth. Be honest about who you are, Rey!
Rey: No!
(Vader’s mask falls to the ground)
Kylo: So that’s where you are.
Kylo: You know why the Emperor’s always wanted you dead. I’ll come tell you.
(In the Hangar)
Rey: Why did the Emperor come for me? Why did he want to kill a child? Tell me.
Kylo: Because he saw what you would become. You don’t just have power. You have his power. You’re his granddaughter.
Kylo: Skywalker & Palpatine, still fighting his war. Alone, all that waits is the Dark Side or death. But together, through our bond, we’ll have peace…make things the way we want them to be!
Kylo: You know what you need to do. You know.
Rey: I do.
This way it’s more that Kylo is coming to his own conclusion about Rey’s origin, even if he’s incorrect. As far as having our cake and eating it too, let’s go back to my idea of Rey getting to Exegol using Kylo’s memories (using previous scenes in a black & white filter to show she’s calling on them). I think we can do the same with denoting what parts of Kylo & Rey’s visions are true and which ones are fabrications. When Kylo thinks back on his past actions or we see the TFA flashback of Rey’s parents abandoning her, those moments are in black & white, meaning they actually happened. When we see visions of Kylo/Rey dying on Exegol, Kylo/Rey on the Sith Throne, or Rey’s parents telling her to be brave, those scenes are in color (or saturated color), meaning there’s something off about those visions.
I think you could cheat by mixing black & white visions with the saturated color visions. For example, Rey’s parents telling her to be brave in color, Rey’s parents abandoning her in black and white, a shot of Ochi in black & white (with the dagger cropped out), and Rey’s parents dying in color. I wonder if it’s worth reinstating the ticking clock to add pressure to the situation, so that Rey & Kylo don’t really have time to question. If all else fails, Nev’s given us a good skeleton for a “Rey Nopatine” edit, I’m just trying to figure out what muscle I can add to it.
As far as capitalization in the text crawl goes, I’ve already explained my reasons well. Besides, treating this as the end of the Skywalker Saga, I think it’s fine to be experimental in what could be capitalized.