Yeah, this was kind of a misstep...but, we don't know what the author has planned. Maybe in retrospect it will seem like a good decision.
But for now it does feel like things are unresolved. Early on, we didn't know what would happen if Yu found out she was the demon king. And I kind of assumed he would decide that wasn't a problem. But, now we've seen that revealing it really does cause a problem, and yet we don't have a real resolution to that problem.
My hope is that the demon king takes a new approach to forge a meaningful connection with Yu, so that she can at some point reveal who she is without the same consequences.