While I do think he should tell Belle about Milah, I can see why he is hesitant to bring it up. He ripped the heart of the woman that was his wife and crushed it. That is not an easy confession to make.
I’m not really suprised that Rumpelstiltskin is not telling Emma about Captain Hook–he deals with things on his own. He has only ever really gone for help when he has been in real need of it. Also, if he did go to Emma, she would not approve of killing Captain Hook, which is what Rumpelstiltskin wants to do. She would work to capture him alive–to arrest him. He probably just wants Captain Hook dead and gone.
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