I think the main reasons Marcone has not killed the Alphas yet is that they don't mess with him directly and that he knows Harry would retaliate. Marcone is not coward but he is not crazy either, he wouldn't alienate Harry just because. He knows that Harry is the most dangerous when he is in protective mood.
None of those things would change if Marcone knew they know about his status. So I don't see Harry telling them as endangering them in any way. On the contrary, it helps them know what they are dealing with. The Alphas are not stupid either, they won't mess with Marcone without a damn good reason.