I like the idea of the SGC already knowing about Immortals. It would make sense for many governments to already be aware of Immortals but to just ignore them in fear of opening Pandora's Box. They'd keep track of them through the Watchers and would have plans in place for if Immortals are revealed.

It would be even more confusing if the SGC then met Methos on Earth through the Watcher's Organization. They'd have to decide whether to tell the Watchers as well as figure out what's going on with Methos. Plus, they'd know that either there's an unsecured StarGate somewhere or Immortals have another way of traveling between planets, which means major security issues.