Neal
That's the good thing, knowing in case someone shows up. That really is the only thing I can find that's good about the whole fictional thing. Preemptive warning.
As for telling Emma. If she asks. I mean, knowing of potential threats against Henry is important, definitely. But all the details, maybe not. For now I say see if she asks. Play it by ear, which is dangerous no matter what hand you play, but... yeah. There's nothing we can do right now and if he shows up, well, you've seen how protective everyone here is of Henry.