If you say this to a native speaker, they will likely understand what you are trying to say. To make it more natural you could say, “I shouldn’t have pretended to understand what he was saying.” Hope that helps!

The 'should' part is fine. I'm not sure about 'sayings' though. If by 'sayings' you are referring to well-known and famous things that a well-known and famous person said, then yes, it is fine. e.g. 'his' means 'Buddha's' or 'Christ's' or something similar. If not, you probably should say 'what he said' instead.

I should not have pretended to understand what he was saying to start with.