See, that's the thing. We don't KNOW what John said to Dean, we only know what Dean later related to Sam. And even with the scene between Azazel and Dean in "In The Beginning" it's not entirely clear that Azazel is saying something that Dean didn't at least know something about. But I'm sure that Sam never said anything to Dean because at the beginning of the next episode, Dean is surprised to learn that Sam knew about the demon blood, and had known for a pretty long time.