Memory stick - i doubt they were aware it existed so no reason to search Luke for some tiny item.
Luke reporting Serena - I liked this bit, its horrible but its Luke trying to do what HE thinks June would want, but what June wanted was to do the right thing, shes deeply uncomfortable with who Gilead has made her, or the parts of her Gilead has brought to the fore, shes trying to make the right choices... and he's under mined that. Again, they're showing us that Luke and June are not a harmonious couple, theres a mis-alignment there.
But I also think that Serena would have been caught anyway, she has no right to stay in Canada having left the centre which was the same status as an Embassy (i am sure they even said that a few episodes ago). So it doesn't really matter that Luke informed on her, Serena was never getting away that way!
Still haven't worked out if the Wheelers are living on Canadian soil but Gilead believers/followers, with connections in Gilead, or are actually living in Gilead close to the border.
Serenas clearly had a rude awakening, to the fact that the Wheelers fully intended taking her child, that she holds no status and would be at best, a handmaid but most likely sent to the Colonies as an unwoman due to her controversial nature. Shes previously assumed she held some sway and was safe, and whilst that belief has been rocked from time to time, cognitive dissonance has always taken over again in the end.. but now, not so much!