"And you already knew about it," she says. "Because of Tony."

She can give Charlie half that advantage, maybe. He's already leery of her spending time with Sherlock; he's sympathetic to what he believes to be Sherlock's plight, but concerned that he may be unstable or otherwise undesirable company for Bella. Not only can she not tell him the full story about this entity (if she decides she believes it), she also can't tell him who it came from. He'll know she's omitting information and will be unlikely to take what she does tell him seriously, and probably be annoyed into the bargain. Which isn't to say that a warning won't be useful if the entity does make a move, as an actual encounter would give Bella's words more weight, but it doesn't seem to have done very much for Sherlock.