There are at least two reasons that Marlow chooses to lie to Kurtz' fiancee. The first reason is simple sympathy and the second is that explaining Kurtz dissolution would be nearly impossible.
Kurtz intended lives under the same misunderstanding that Marlow's aunt does. These women, living with all the comforts of Europe, believe that the imperialist project is a thoroughly moral one. This misconception does not excuse them from actual and economic responsibility for the exploitation undertaken in their name, but it does insulate them from direct, moral responsibility.
Marlow must feel that Kurtz' intended does not deserve to suffer either from an affliction of reality or from sharing in Kurtz dark realizations. Marlow does not leave the Congo as a messenger of the truth, though he has certainly encountered a difficult truth about human corruption.
Marlow believes he could not have told the truth, something too painful for her to bear.
A natural sympathy might explain why Marlow chooses not to inflict this truth on Kurtz intended.
Also, how could Marlow explain how Kurtz was found living in the jungle in a hut with heads on stakes surrounding it? Though Marlow understands better than anyone else what happened to Kurtz, the complexity of Kurtz psychological dissolution is difficult to convey.
Marlow admits to his intimate knowledge of Kurtz while at the same time suggesting the difficulty of truly explaining the man when he speaks with Kurtz intended.
When she asks Marlow if he had known Kurtz well, he says, “I knew him as well as it is possible for one man to know another.”