I don't know if you've missed this or not in the movies but.........the movie is about SENTIENT programs........programs that are self aware and can think, that is what sentient means.............I believe they cover this in the first movie when describing the agents.
ofcourse he has questions..........the entire movie series is built around questions..............this however has nothing to do with the fact that the oracle has already told us that Neo is incapable of making choices, that the choices have already been made........he is simply walking the path to understand how these choices will lead to the desired result.
Neo is programmed to do something..........he cannot change this. He can however wonder, "why do I have to do this"..........ofcourse the answer comes when he walks the path and finds out what the result is........he can then look back and see why he needed to do that something to arrive at the result.