You're right, it is a sad episode. As for why Liz didn't tell Max about the future, well, it's dangerous to know too much about the future, especially your own. If she had told Max that she was trying to change the future, he most likely would have tried to interfere, with potentially disastrous consequences. I'm sure that someday Liz would tell Max why she did what she did. Now that she successfully changed the future, it's safe to tell him what could have been.
As a side note, it's interesting to think that Liz's pushing Max away led indirectly to the potential for Tess's betrayal. Or maybe in Future Max's timeline, Tess did betray them, and that's what led their enemies to Earth? Any thoughts?