The top-voted and accepted answer in this thread says that "the most important thing" that Hari Seldon wanted to tell Daneel Olivaw was the basic psychohistorical assumption that "intelligence lies only with humanity".
However, there are a few flaws with that answer.
Firstly, at the time the scene in question takes place, when Daneel disappears as Eto Demerzel, Hari Seldon had not developed psychohistory. This is the first section of 'Forward the Foundation', when Seldon is still forty years old, and still working out psychohistory. He can't have worked out its basic assumptions yet.
Secondly, even if Seldon did already know this assumption that psychohistory assumes intelligence lies only with humanity, why didn't he tell anyone? According to this theory, Seldon knew this assumption at 40 years old. He hadn't created the Foundation yet, or the Second Foundation - they were thirty years in the future.
In the second chapter of '... And Now You Don't' (collected as "Search by the Foundation" in 'Second Foundation'), a Student tells the First Speaker of the Second Foundation that:
The laws of Psychohistory are statistical in nature and are rendered invalid if the actions of individual men are not random in nature. If a sizable group of human beings learned of key details of the Plan, their actions would be governed by that knowledge
and would no longer be random in the meaning of the axioms of Psychohistory. In other words, they would no longer be perfectly predictable.
Later, in the fourth chapter of the same story, the First Speaker tells the Student that:
Psychostatistics by its very nature has no meaning when applied to less than planetary numbers.
These axioms were repeated by Golan Trevize a century later in 'Foundation and Earth':
I knew nothing about Seldon's Plan except for the two axioms on which it is based: one, that there be involved a large enough number of human beings to allow humanity to be treated
statistically as a group of individuals interacting randomly; and second, that humanity not know the results of psychohistorical conclusions before the results are achieved.
The Second Foundationers, and even the First Foundationers, were fully aware of these two axioms, which they would have learned from Seldon's own work nearly four hundred years earlier. Why not the third? If Seldon had known of this assumption, why didn't he record it along with the other two? As Trevize says, "Maybe the third requirement is an assumption so taken for granted that no one ever thinks of mentioning it." It looks like Seldon himself never recognised this assumption.
Thirdly, that answer states that "Asimov wrote the first three parts of Forward the Foundation completely, but the final part was in draft form, though largely done" and then hypothesises that the person(s) who completed the book "didn't want to corrupt the work by putting in an answer not first verified by Asimov, so they just left the riddle unsolved". However, the section where Daneel/Demerzel leaves is the first section of 'Forward the Foundation', not the last. It was therefore written by Asimov, and is as Asimov intended. (He has himself written that he didn't like to go back and re-write his own works. He did a first draft, then corrected it for spelling and minor wording issues, and that's it.)
Seldon hadn't developed psychohistory at the time that Daneel/Demerzel left.
Seldon didn't know this basic assumption about psychohistory applying only to humans.
The text was written by Asimov himself, as he intended it to be: there's no unresolved mystery about what he might have been thinking.
What, then, was "the most important thing of all" that Hari wanted to tell Daneel?
I posit that Asimov told us what that most important thing was. It's what Hari said to the empty room: "Good-bye, my friend." Friendship is important. At the time Daneel left, he and Seldon had known each other for about a decade: a quarter of Seldon's life. Hari had said "Good-bye, Daneel", but he hadn't said that extra word: "friend".
Asimov did like mystery, but he also liked to reveal the solution to mystery. If he hinted at something, it was either extremely obvious or it would be revealed later. This mysterious "most important thing" to say to Daneel was both obvious and revealed later. The answer is right there in the text, staring us straight in the face.
The most important thing of all for Hari Seldon to tell Daneel was that he was Hari's friend.