Because it's an inherently untrustworthy source that lies like a rug, and credulously passing its information up the chain as if it were valid intel seems stupid? Passing on a communication from the Enemy as valid intel without mentioning that it was an Enemy message is applying Mathilde's credibility to a source which deserves none, so just having that intel at the bottom of the disclosure pyramid seems extremely questionable, but "accidental contact with Daemon, plz confirm security" seems quite sensible to me. For comparison, exactly that is already presented as a reporting option for Belegar, and telling him about any of the Everchosen business is not. Otherwise, if there's a Grey protocol for safely handling intel from daemonic sources, we haven't been made aware of it yet, and a baseline of "don't pass on information attacks" seems wise.