Vincent didn't tell Cathy the truth because he didn't want her to be prejudiced against Zero. The person who got elected for Zero's position has changed, and he has a suspicion he knew who the current Zero was now. He didn't want Cathy to hate someone who didn't deserve to be hated.
On the other hand, he didn't want Cathy to feel happy or respect Lest for struggling hard to save him. He didn't want Cathy to fully trust Lest because he knew very well what kind of character and integrity the older man was. Even though Vincent himself owes Lest a debt of gratitude, that person was also in debt for bringing him into the dark world of LS.
Hence, he hated that man at the same time, couldn't hate his savior. He was willing to hold on to this debt burden, but he didn't wish for his beloved girl to get involved more than this.
