Natasha & Clint.
You should. This is a momentous occasion.
He's probably more mad at himself than at you. With stuff like that, I don't know if you ever really start to believe that there's nothing you could have done. Not when it's family. But it wasn't like what happened to me. Blow to the head wasn't going to fix it. No sense telling him something he's not ready to hear that he can't do anything about.
Is it too late to blame someone else? Stark, for example? I think Fury's reputation can take the hit.