I think Diana Ross are wise not to reveal their relationship. It could get viewed either way, and potentially be unhelpful.
They didn't obviously work as a sub team, but I think had push come to shove, they would have tried to prevent the other from being banished, and they could have worked better later on.
For example, had they both got to the final round, and let's say Diane and one other traitor was present. Ross might vote to end it. Diane could vote to banish again and Ross should go along with whomever she said.
There's a lot of what ifs but it could have been handy.
Definitely better no one else knowing though.