In Chapter 9, Uncle Henrik tells Annemarie that it is far easier to be brave when one does not know everything. What he means is that a lack of knowledge about dangerous secrets or impending threats can help someone keep his/her composure during stressful situations.
In the chapter, Annemarie is told that a funeral will be held for Great-aunt Birte. However, Annemarie knows that there is no such relative in her family. She is furious that the adults are lying to her. Her anger abates, however, after Uncle Henrik speaks with her. The funeral is actually a cover for gathering a group of Jewish refugees at Uncle Henrik's home. The refugees are to be smuggled out of Denmark in Uncle Henrik's boat in the dark of night.
Uncle Henrik tells Annemarie that he can only divulge certain information to her. In other words, she will be told only what is necessary for her survival. Details that are left out are for her protection: if Annemarie doesn't know the full truth, she will not stumble or seem nervous when questioned by Nazi soldiers. This is why Uncle Henrik tells Annemarie that it is far easier to be brave when one doesn't know everything.