Preface/Aside: It's not obvious to me that your thief's player should be making those saving throws, as opposed to you making them in private. Surprisingly, I cannot find the question addressed here directly ("Does a player know he is failing wisdom saves when scried?") or indirectly ("When do you tell a player they are making a saving throw?")
But nothing in the text of the spell says or implies that the target knows they are being scried, unless or until they see the invisible orb. The presence of a special rule for when the character does somehow know they are being scried is the exception that proves this rule. (Take note of this correct usage of that phrase.) This makes it sound similar to a passive perception check, which is commonly kept secret from the player.
I bring this up because, although it does not help you here, it would have enabled you to cleanly retcon your BBEG's actions: "Well, I guess he wasn't scrying them all that time. Must have been busy," with none the wiser.
But that isn't what happened, and now you face the choice of:
Your first suggestion: Retcon and tell them they've been seeing that glowing thing all along. Your players may not immediately understand what this means, but they will probably figure it out right quick. They may call foul, because they may have taken different actions based on that information. I would not do this.
Your second suggestion: Playing it straight going forward with no explanation. The next time the save is failed, the wizard sees the glowing thing, and your players probably figure out what happened. They may call foul, as above. I would not do this, either.
Your third suggestion: Retcon/houserule some reason for the Robe of Eyes not to work. In particular, a strained reading of the spell text might imply that it is the target who needs to see invisible, not any random creature in the area. (No, I don't really buy that myself. There are other equivalent retcons, some of which can best be summarized as, "Because the GM said so.") This is less objectionable to me than the others, but I probably would not do this, either.
My suggestion: Aim to rectify the situation with as much honesty and fairness as you can arrange. In this case, I specifically recommend admitting that you screwed up as the honesty component. Because inevitably, these things happen. It's unfortunate, but they do. And the fairness that I recommend is telling the players that, since you messed up, you won't be using any of the information that the scryer may have gained, since the error prevented them from taking any countermeasures. Optionally, suggest that going forward the whole thing be retconned and that the next time the thief fails the saving throw is actually the first time they've been scried... and the wizard sees it and they can react naturally.
For really good, experienced groups, admit you messed up and ask them for suggestions on how to handle it.
In this case, if at all possible, I'd go for the fourth option. This makes the tacit assumption that your BBEG has not already made overt, on-screen use of the information they received from scrying. Since it's only been a week, this is probably a good assumption.
Retcons are clunky and undesirable, but that takes a back seat in my mind to the basic fairness of the issue. I know myself well enough to know this would eat at me as a GM. I also know that essentially all of the players I've played with in the last 20 years or so would be pretty generous in their reactions to something like this because mistakes do happen.
Blindsight can detect invisible objects.
A creature that can see invisible objects sees the sensor
Implies that this sensor is an object or at least treated like an object for the matter of perception.
Blindsight (PHB 183):
can perceive its surroundings without relying on sight
Blindsight doesn't inform the creature about the nature of the spell. It merely detects that there is an object. As a special sense Blindsight bypasses the mechanics of being invisible, the condition states (my emphasis):
An invisible creature is impossible to see without the aid of magic or a special sense.
Blindsight is a special type of sense, and while the sensor is no creature, the logic applies to objects as well.
Best Answer
The spell isn't clear, but we can reach conclusions based on the wording of the Clairvoyance spell.
For starters, you're not the first person to ask (see this thread on ENWorld, which unfortunately does not yield an answer), and it is, quite frankly, unclear.
I was not able to find any Sage Advice/Jeremy Crawford ruling on the question, so from there the best thing to do is to look for similarities between Scrying and similar spells, and one is an obvious choice: the 3rd level spell Clairvoyance (PHB, p. 222). It works the same way as Scrying in that you...
This is the exact same wording ("invisible sensor") as used in Scrying. The description for Clairvoyance, however, is more thorough since it specifies the following:
From there, two possible conclusions:
I would probably go for the first option myself. Simply put, if the invisible sensor in Scrying was meant to be interacted with, I would expect the spell's description to explain how. As it is, the best description we have for this sensor is that it appears as a "luminous orb" for creatures able to see it, without even specifying its actual nature ("sensor" is not an item or creature type). Since we have no information on its tangibleness, weight, etc. it seems more likely that it's meant to be non-interacting.
TL;DR: Since the invisible sensor in Clairvoyance cannot be interacted with, and there is no clear explanation of what a sensor actually is, I would make the ruling that the invisible sensor in Scrying cannot be interacted with either.