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The Baron does not want to know how
Lady Jessica and Paul Atreides die,
out of fear of the Bene Gesserit Truthsayer; or at least that is what Jessica deduces. The same goes for Piter de Vries.
But it seems obvious that the purpose of the Harkonnens attacking the Atreides is to
kill the family/bloodline.
Since the Empreror himself is involved in the plot, why would they fear to be questioned by a Truthsayer, and why do they fear to reveal their whereabouts?
It's not that the Baron doesn't want to watch them die, it's that he wants plausible deniability as to the reason and manner of their deaths. He wants to be able to stand in the presence of the Truthsayer and say "I didn't kill the boy or the woman and I didn't order their deaths" and for it to be the strict truth. By using a proxy (Piter) he allows himself the victory he wants, the ending of the Atreides line in as unpleasant a way possible without breaching his evident bargain with the Emperor, that he'll deliver up the boy and his mother alive after the invasion is complete.
As to why the Emperor wants Paul and Jessica, this is down to the Bene Gesserit. They want to take them into custody (presumably in exile on their Chapter House planet) until it's time to bring the final stage of their breeding plan to fruition, by wedding Paul to a Harkonnen female, sealing the bloodlines and creating their superhuman.
“We may be able to salvage you. Doubtful, but possible. But for your father, nothing. When you’ve learned to accept that as a fact, you’ve learned a real Bene Gesserit lesson.”
In the Dune-verse at the time of the Dune novel, Emperor Shaddam IV is not all-powerful - in fact, he is often portrayed as a puppet of the various other powers. Politically, his influence is regulated by the Landsraad, and the other powers (Spacing Guild, Bene Gesserit, other noble houses, and other minor powers) contribute their own power (or withhold it) to manipulate the Emperor to their own ends. There are always plots going on, and the books go to great lengths to explain the thought-processes of the key players. Even Paul Atreides, as he claims the throne and the Emperor's daughter to be his "wife", sees that there are numerous plots afoot and that he must take care not to over-reach. Of course, he eventually takes a damn-the-torpedoes approach and plunges the galaxy into war (he laments at one point that over 60 billion have been killed in his wars [Dune Messiah (1969)]), but that comes later.
So, in this instance, the Harkonnens and the Emperor both know that if their plan becomes public knowledge, they could be censured by the other powers - Spacing Guild could withhold interplanetary travel, and thus access to the spice, and the Bene Gesserit could withhold their power to influence the gene-pool and see the future, etc.
The reason may be that the Emperor and the Baron Harkonnen have different goals in the conflict.
The Baron wants his enemy, all of them down to the last soldier, dead. His motivation is one of burning revenge:
"The Harkonnens won't rest until they're dead or my Duke destroyed. The Baron cannot forget that Leto is a cousin of the royal blood--no matter what the distance--while the Harkonnen titles came out of the CHOAM pocketbook. But the poison in him, deep in his mind, is the knowledge that an Atreides had a Harkonnen banished for cowardice after, the Battle of Corrin."
And that quote brings me to the next point. The Duke Leto and the Emperor were distant relatives. He very likely did not want any harm to come to a member of his family. The Emperor's reason for engaging in the conflict wasn't personal, it was to ensure supremacy. Hawat explained it to Baron Harkonnen:
"The Padishah Emperor turned against House Atreides because the Duke's Warmasters Gurney Halleck and Duncan Idaho had trained a fighting force -- a small fighting force -- to within a hair as good as the Sardaukar. Some of them were even better.
The Emperor was involved only as a political necessity. Most likely he was hoping that once Duke Leto's armies were smashed, he would retire to Tupile:
TUPILE: so-called "sanctuary planet" (probably several planets) for defeated Houses of the Imperium. Location(s) known only to the Guild and maintained inviolate under the Guild Peace.
Remember that there were strict rules in place to keep royalty safe during wartime, too.
DICTUM FAMILIA: that rule of the Great Convention which prohibits the slaying of a royal person or member of a Great House by informal treachery. The rule sets up the formal outline and limits the means of assassination.
The Emperor had every right to think that Duke Leto would survive the conflict. The Baron, however, had other plans:
Others in like circumstances have become renegade Houses, taking family atomics and shields and fleeing beyond the Imperium."
"The Duke's too proud a man for that," the Baron said.
"It is a possibility," Piter said. "The ultimate effect for us would be the same, however."
"No, it would not!" the Baron growled. "I must have him dead and his line ended."
And the death of Duke Leto sent the Emperor into a rage:
When my father, the Padishah Emperor, heard of Duke Leto's death and the manner of it, he went into such a rage as we had never before seen.
Which brings us to the Truthsayer. The Baron had to engineer deaths for his opponents, but do so in such a way as to look like you were playing inside the rules, and to be able to speak the truth in front of the Emperor's Truthsayer, and not offend the Emperor. It was a very delicate thing. That's why they had to do all the circumlocution. It was noticed by Count Fenring:
"The Emperor cannot be unhappy about the death of the concubine and the boy," the Baron said. "They fled into the desert. There was a storm."
"Yes, there were so many convenient accidents," the Count agreed.
So the Emperor definitely suspects, but cannot prove the Baron went against his wishes and purposefully had the Atreides killed. The Baron's plan was a success in that regard.
