In a lot of fantasy/sci fi for kids, the story centers around children or teens who know a secret about time travel or mermaids or something, and they don't tell anyone, including their parents. Does this send a wrong message?
If it's a fun secret (not dangerous) I have no problem with it - such as a Wizard of Oz fantasy or the like. The problem is if it is a dangerous situation kept secret.
Sometimes it makes sense for an adult not to believe the child, but sometimes it really doesn't. In many of these stories, the secret is something that could easily be demonstrated.