“Let’s go straight to Bethlehem.” The angel never commanded the shepherds to go to Bethlehem. That was assumed because the shepherds were godly men and would have automatically gone to see the Messiah. Similarly, there are things that believers should know to do, and do, without being specifically told.
“thing.” From the Greek rhema (#4487 ῥῆμα), which can mean, “a word or message,” or “the event that the word describes, a thing or event” (BDAG). Here in verses 15, 17, and 19 it refers not to the words themselves but the whole event being described by the message. The shepherds wanted to go see the event the angel’s message described, not go see the words. Likewise, in verse 17 the shepherds speak “about” (Greek: peri #4012 περί) the rhema, which shows that they were not just making known the message’s content, but “told the whole story” (Lenski), they made known “about” the message, i.e., all about the angels, the sign, and having found the child. Lastly, in verse 19, Mary does not just store up the angel’s words about the child in her heart, but pondered the entire event.
“which the Lord has made known to us.” The shepherds do not say, “which the angel has made known to us.” This is a good example of the principle of Author-agent in the Bible. The shepherds knew that the angel was an agent of God and spoke for God, so although it was the angel who spoke the words,from the shepherd’s point of view, it was God the Author who made the message known.