It's a matter of the familiar.
What we've done as a sorcerer verges into myth and legend from her point of view. It's beyond her current perceptual framework, and that means we can afford to be a little more honest about it because she won't quite understand everything we're saying. Risk, danger, sure. But the rest? It's too far outside of her worldview, and right now that's a good thing. When she actually, properly, realises what we've fought, it'll chill her blood. No mother would wish for their child to have to fight devil, demon and worse abominations at less than six and ten. The fact that Dany was there for a lot of that is going to make it even worse. But right now, she can...stretch her viewpoint. It's something that humans do when presented with something beyond them, especially when it involves those they care for. They pretend it was safer, because it's just a fey tale that they were wrapped up in. It's the barrier between her contentment and shrieking hysteria. I prefer to keep her on the side of the former, by the way.
But hiding among the common folk? Being implicitly part of a thieves guild? As the Heir to the Iron Throne? It would give our story just enough in the way of reality for everything else to come crashing through and shatter the happy little illusions that we're going to have to be so careful in dispelling. Is this unpleasant? Oh yes indeed. But it's also how the human mind works, and I refuse to burden Rhaella with such horror the day she was returned from the dead.