Yeah, if Walter shows, Frank is going to have a problem explaining to Will. "Remember how I told you not to worry? Well..." But even Frank has the brains not to panic Will, since he realizes Will is very attached to Henry, and he'll eventually realize possible Eileen jealousy too though he won't feel competent to say anything.
He's not the most socially aware person but he realizes how attached Will is to Henry and he had a big jealousy problem among that blew up in the building after all... (albeit among people not quite as nice...)
But asking Will to watch out for Henry if Walter shows would be OK and not a Really Bad Idea that would torment Will and cause bad stuff to happen? Just asking for the sake of Frank's knowledge that something wrong might happen if he did it -- he can't exactly predict the future but he might sense "OK, don't go there" even though he overall trusts and likes Will.