Because you're not being up-front and everyone is suspicious of the person who just runs in with zombies chasing them and gets everyone into a fight that nearly kills them?
Anyways, Jareth doesn't really trust you (he trusts all of... 3 or 4 people I can think of, plus the rest of his family), but he's not going to attack you. Unless you give him a reason to attack, like attacking him...
He's more likely to say "we saved you, got you out of the caves... good bye and good luck" once we reach an exit where it's safe for you to leave.