By the time Arya makes it to Harrenhal, she has been repeatedly taught one key lesson: her identity makes her a target.
While traveling with Yoren and the Night's Watch recruits, she has to work very hard to become "Arry", and pretend to be a boy.
When the guards came for Gendry, Arya's first thought is that they've found her, and know who she is.
When The Mountain and his men capture them, she knows that revealing her identity would almost certainly result in her being sent to The Tickler.
When she gets to Harrenhal, she still has to work to hide her identity, lest Ser Amory Lorch get wind of who she is (The Tickler is still around, iirc).
By the time Roose Bolton arrives, she's been hiding for quite some time, and her distrust has become pretty deeply ingrained. I believe she wanted to reveal herself to him, and be rescued, but she couldn't quite bring herself to trust him. This actually may be an indication that she's a fairly astute judge of character. Despite being a bannerman of House Stark, Bolton is far from a nice person.
As to your question about whether her life would have improved significantly if she had told Bolton who she was: without revealing anything significant, it is questionable whether her life would have been improved (as in I'm really not sure, even with hindsight, as to whether his reaction would help her or make her life miserable).