If I'm reading this part correctly, by revealing who the lady is Yeon believes she would be unhelpful to the emperor and she wants to be useful/more than that by serving and protecting the emperor. She is committed to continue her duty to fulfil the pledge that she made to her devote her life to repay for her father's life and abide by the prophecy of the Blood Dragon Sword. She believes being a general allows her to do all that. In addition, a) she is a humble person preferring to stay in the background b)
@ninetailgumiho 's
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There's also the lies she built fooling the emperor. Combined with all these factors -- but not limited to -- she feels she does not deserve to serve as a lady by his side even though she loves him. I suppose that by being silent about the whole matter, she hopes the emperor would eventually forget/lose interest in her/cease chasing after her as the lady whom the emperor loves and saved that night.