Captain America did not tell Sam Wilson about Peggy Carter because maintaining the secrecy of his true identity and the life he built with her was paramount.
The Imperative of Secrecy
After returning the Infinity Stones and choosing to live out his life in the past with Peggy Carter, Steve Rogers, now an older man, had to meticulously guard his true identity. Both Peggy and this future version of Steve would have taken significant measures to ensure his presence and their shared life remained a secret. This was crucial to prevent any disruption to the established timeline or their personal existence.
Protecting a Hidden Life
It was precisely this profound need to keep his identity and the details of his marriage a secret that led Steve not to disclose the truth about his wife to Sam Wilson. Even when Sam noticed Steve's wedding ring at the end of Avengers: Endgame and questioned him about it, Steve withheld the full story of his life with Peggy. This decision was a direct consequence of the careful efforts he and Peggy made to preserve their hidden life and the integrity of the timeline he inhabited.
