I mean, why wouldn't they? They're fuck buddies, not lovers, and you can keep stuff from your lover too. Makes sense for uke to keep it from the incubus cuz a) He's a fucking demon using him for sex for sustenance and the uke doesn't know how sincere his feelings or if he's just using him and b) His coworker broke a pretty major demon rule apparently so it'd make sense for the uke to try to cover for him.
Honestly I kind of understood his thought proccess of "it's not like I'm gonna do anything about it"... Yagi offered for *them* to do something about it, but it was more in a "i'll leave it to you" kind of way. Yusa needed the incubus' name in order to exorcise him, but he is still the only one who can; as a fellow demon I don't think Yagi can do that, and he's also accepted he's not as strong as the (other) incubus to just kill him with brute force. Yusa probably didn't think "his colleague wanted to kill the incubus" because of that -- Yagi kind of threw it at him and said "do with that what you will".
Also Yusa was pretty much out of it when he remembered that happened so I don't blame him that much lmao
Maybe because it's a pretty big, end-of-the-world type thing to keep from the incubus?? This is not like "hey i was offered a promotion at work, might have to move house..." this is "hey some other dude suggested I kill you and gave me a step by step guide on how to do it," so the idea that "well it's not like you have to share everything with your lover, so why should he bring it up?" is pretty wild to throw out there. By all means, Yusa can cover for his coworker if he wants to protect him, but in my opinion, he can't really be surprised when the incubus gets angry upon finding out said coworker gave him this information and he just let it marinate. The incubus even gave him time to come clean about it, but Yusa deliberately chose not to do that.
I noticed this a few times in different mangas already but I still can't understand why some people keep things from their (sex) partners. Especially in a life or death situation. What was the goal of keeping "my colleague wants to kill you" a secret? Not ruining the moment? I don't get it.