Basically Yuji eating the first finger was the trigger for the other Sakuna fingers to be active and start becoming curses that kill people, Megumi was saying not to tell Yuji or he'd be likely to blame himself.
It's so sweet coz Sakuna is telling Yuji anyway to mock him and his only thought is he'd better not tell Megumi to spare his feelings too.
THEY. ARE. TWO . CUTE. BOYFRIENDS. 😭😭