For a typical case where a selectee gets married after the initial entry submission or subsequent selection, all they’ve needed to include was just the marriage certificate. No additional explanation required. Except in a few cases where they may be suspecting the marriage was a GC based one, in which case they would have been given the opportunity to demonstrate otherwise.
I do not believe the IO misunderstood his eligibility to process as a DV derivative on the basis of being married after your selection. I’m more inclined into thinking he was denied due to failure to be listed on your entry form as a spouse, since the denial letter says “USCIS has determined that, although you qualify as the principal beneficiary’s spouse, when the principal beneficiary submitted the DV lottery entry he or she did not include your name, biographic information, and photograph in his or her application for the DV lottery” They believe you were already married before the entry submission.