Don't confuse secrecy with distrust.
Harry has kept things from people for various reasons. He kept things from Murphy to keep her out of the notice of the magical community and because some knowledge would have put her into ethical dilemmas and/or greater danger. That also how he's treated Molly, Butters and the Alphas. But when the chips were down, he's come clean with all of them. The only thing he's ever kept from Michael was his initial acquisition of Lasciel's Coin. These are members of his intimate family and friends and it includes Thomas and Sanya.
Any ally involved with the magical world gets all the information that is safe for them to know when they're working with him.
But Carlos and the other Wardens are not in his intimate circle. They are trusted coworkers and foxhole buddies. They relax together after battles and have been through some stuff but they don't tell each other everything. This group holds Eb, Listens, River, Anastacia, Rashid and a few others.
Carlo's questioning stepped from the coworker/buddy circle to the family/intimate confidante level. Harry wouldn't let him that close for good and bad reasons. In that situation, Harry may have trusted Carlos, he couldn't trust Warden Ramirez.