HappyBut, if you are open to suggestions then I have a few. While knowing he is likely emotional because of his baby sisters appearance, I would still make some small efforts to include him more or make him feel important to you as a person separate from his sister, as in not lumping them together when/if you pay him some extra attention.
As I said, some little things like possibly seeking him out first when you arrive at your DDs place and only when that’s done do you then give your hello to the baby. Another could be asking him about something he mentioned last visit or just talking to him one on one instead of talking to him, his sister and your DD as a group and asking open ended questions that would get him talking about himself.
Definitely don’t ask him why he feels left out of conversations though, being 9 years old I can imagine the best answer you’d get from that is a shrug and an “I don’t know”. Why doesn’t matter anyway, all that matters is that he feels that way. Also asking him about it would likely embarrass him and make him wish he had not said it at all which is no good.
As you mentioned, this obviously troubling him. Even if he isn’t very receptive to your trying to include him, I’d say keep at it. His sister isn’t going anywhere and so neither is this feeling of being on the outside looking in. He needs an extra helping of grandmotherly love! Or grandfatherly…whichever better applies to you