Translation:I still do not know why he says this.
Oh right. It's not just about which question word. אני יודעת לאן הוא הולך doesn't require ש. I think it's a different type of conjunction. I don't know exactly how to define the difference, I will have to think about it, or maybe someone else knows the answer? Definitely למה never takes ש, but לאן and מתי do sometimes. Also איך.
"ש" means that and "כי" means because. If you are saying "I know that he..." you would use " ש" as the conjunction, but to say "it is because he...", you would use "כי".
This appears correctly in Chrome, but messed up in the app. Sorry I can't figure out how to make it readable in the app.