That particular decision, I think that for one thing it's in character, and it makes sense, and it's kindness so I'm totally A-OK with that.

Some of Shen Wei's other secret-keeping seems less appropriate, and there's at least one time when Zhao Yunlan calls him out on it and basically says, 'you could have prevented deaths here if you'd only talked'. I think it's the goldfish girl ep, when Shen Wei allowed the SID to think the guy and not the girl was Dixingren.