Why do you think Shakespeare has Duncan say this right before Macbeth enters?
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Shakespeare is adding a bit of irony. As Duncan demands to know whether the former Thane of Cawdor has been executed, his son Malcolm assures him that he has witnessed the man's death. Just prior to Macbeth's entrance, Duncan is musing about the fact that he placed "absolute trust" in the treacherous Thane. He has no idea that the current Thane of Cawdor (Macbeth) is planning treachery.