I really hope that the inquisitor we saw, the one working with Elowin, is investigating the MC and trying to go for Liliah out of all his girls, that would be hilarious to watch
I think that telling all of them would be wise, not knowing won't do them any good, nor is it any safer for them.
If they know they are a potential targets, they should be at least more guarded, aware if someone tries to get infos out of them or more aware that someone could following/spying on them.
Also this is kinda a question of trust, like Glasha, were keeping quite is clearly doing more harm than good...i mean, he told his buddy about vampires and magic (someone clearly less trustworthy and i don't think a gun will keep him safer) but not his gf he knows since they were kids, i understand why she would be pissed.