If they did indeed detect a neutralino, then we'd better see what else we can predict with MSSM.

It's not about particle size being smaller than an atom or what-not. It's about what's the particle's mass, at what energy levels can we find it, and how does it interact with other matter or other particles. Only after knowing or guessing how it would interact, what mass-energy we expect to find it at, etc. only then can we find ways to capture direct or indirect evidence of its existence (or lack thereof)