I was surprised that they didn't tell, and agreed with Hank all the way. It was pretty messed up that (mostly) everyone decided Wu didn't need to know. If it happened to me, I'd much rather know "monsters" actually existed than let myself think I had some sort of mental breakdown. Granted, I wouldn't be getting a lot of sleep for a while with either of those options in play ...
"I can feed the caterpillar, I can whisper through the chrysalis, but what hatches follows its own nature and is beyond me."
-- Hannibal (TV show)
I'm fairly certain Wu won't know anything throughout the show. I feel as though if they would have brought him in, they would have by now. The show needs someone that's blissfully out of the loop, and it looks like it'll be Wu. I'm glad they've given him more screen time, I think he's great.
After giving it some thought, i think Wu is better staying out of it. I also think that it was messed up for them to let him think he was seeing things... I mean who are they to choose what he gets to know?