In my opinion one huge problem with that is that Rimuru also does tell that to Milim publicly. It means outsiders will see there's little understanding, coordination, or trust between Rimuru and Milim. Can they even be called allies? Nay, I'd say, and it's visible to anyone with one or more working eyes.
However, considering the general level of writing of this story, I'm not sure the author even realises the existence of this problem.