"And when they bring you to trial and deliver you over, do not be anxious beforehand what you are to say, but say whatever is given you in that hour, for it is not you who speak, but the Holy Spirit."
He mentions the Holy Spirit with no explanation. And, then, His disciples do not ask for clarification. I don't know if you have noticed, but these guys like to ask questions. In fact, that is what this whole section started as, a question.
So my conclusion is this, they didn't ask for understanding of the Holy Spirit because they already knew the Holy Spirit and His work. The Holy Spirit is not an aspect of God newly revealed in the Newer Testament. First Older Testament mentioning? Psalm 51:11.