I saw on a recent Catholic program a gentleman discussing his near-death experience. He claims that when he asked Jesus what religion he should be, Jesus' answer was "Follow your conscience." Jesus told him to get to heaven one thing is required, and that is to love your neighbor. Why would Jesus not have told him to become a Catholic?
The story as you recount it does convey an impression of indifferentism: that it really doesn't matter what religion one is.
One explanation, of course, is that Jesus never appeared to him--that the man subconsciously or deliberately made up the story. On the other hand, in this life God often guides us to the Church indirectly. Many converts to Catholicism, after their reception into the Church, say that when they look back over their lives they can see God laying the principles that would later lead them to embrace the faith.
Part of the reason that God does this is that we are often not prepared to accept the full truth as God wants us to have it, and so he leads us into it slowly, as we become ready to receive it. As Jesus told the apostles, "I have yet many things to say to you, but you cannot bear them now" (Jn 16:12). In cases of private revelation, what the seer experiences is conditioned by his or her situation and background. (See Cardinal Ratzinger's notes in his commentary that is part of The Message of Fatima.)
Given this, if the gentleman in question did have an encounter with Christ, it could be that he was not yet prepared to face the truth that he should be Catholic, and so he only received a principle that will later lead him into the Church. It could be that God wanted him to embark on a process by which he would struggle and grow in his faith, rather than telling him the easy answer.
However that may be, God often does not tell us the answers up front, even when he talks to us directly. Jesus told parables, and the Old Testament comments that God spoke in riddles even to the prophets.