Yuuri’s dad, mom, and brother all know he’s the Maou. They don’t tell him anything about it, or give him any chance to prepare.
Murata knows he’s the Maou. He doesn’t say anything either. In fact, even when it’s revealed that Murata is the Great Sage, he doesn’t come completely clean, and often works subtle political machinations behind Yuuri’s back.
Conrad doesn’t say anything about Yuuri having Julia’s soul, until Adelbert is about to kill Yuuri–and then it’s only out of desperation. On the one hand, I can understand his reticence, but on the other, dude.
The three brothers all seem to prefer to sweep Stoffel under the rug rather than explain what happened with him to Yuuri. The same goes for Huber. Yuuri gets his information in very roundabout ways, when he could easily get it from the principal players.
Everyone seems to have a “protect Yuuri” complex. His brother certainly does, as evidenced by episode 42. Wolfram does. Conrad had one in the worst way–he confessed to Leila that he thought he was the only one who could protect Yuuri, but that after being at his side for so long he realized that it was actually Yuuri protecting him. (Jury’s still out on whether or not his complex is actually over, though ;>) And Murata does, to the point that he is willing to disobey the will of the Shinou/Original King/whatever you want to call that guy. (Though I think Murata gets a kick out of “disobeying”, anyway. After all, he was the Shinou’s contemporary. It’s kind of hard to suddenly be subservient to someone who was essentially your college roommate.)
What Yuuri has shown time and time again is that he is more than capable of dealing with problems himself. He was chosen as the Maou for a reason, after all. What he needs is support and information, not people who pretend to go along with his ideas and then run their own schemes behind his back.
In a way, I feel like all of these people are using Yuuri. Murata especially. They’re trying to keep him innocent. Perhaps to guarantee the purity of his rage–the only thing that has been shown to release his Maryoku. Some might say they don’t think he’s capable of dealing with things (Wolfram calls him a “wimp”). Some might think that he’s a pushover and try to deal with everything without having to involve him. But the court at Blood Pledge Castle needs to be careful not to turn into a bunch of Stoffels ;P
Fortunately, Yuuri doesn’t put up with this kind of thing. It may take him longer to get to Murata than to the others, but it will happen, damn it.
Of course, the fact that he keeps travelling from one world to the other doesn’t really help him get a good foothold in either place.