When Jack carried Sophie back to her bed, he was able to hold her and his hands did not pass through her! And of course we all know that this only happens with believers.
I think it just didn’t occur to Jack that Sophie believed in him because Sophie never spoke directly to him or acknowledged him visually in any way.
Alternatively, Jack being able to hold Sophie might just be an oversight on the part of the Dreamworks team. However, I don’t think this is true as there are hundreds of people working on the movie, and surely at least one would have spotted the mistake.
So for now, unless I can find an explanation or the Dreamworks team clarifies this, I’ll just take it as canon that Sophie was Jack’s first believer.
*This does not take anything away from Jamie’s special connection with Jack! Jamie was still the first person to talk to Jack, the first person to interact with Jack, the first person that displayed his belief in Jack, after Jack’s 300 years of loneliness.*