The Dursleys don’t want people knowing.
The Dursleys would never want to expose magic to the world, because they never wanted anyone to find out about their unusual relatives. They were afraid of that happening, and intensely wanted to avoid it.
“The Dursleys had everything they wanted, but they also had a secret, and their greatest fear was that somebody would discover it. They didn’t think they could bear it if anyone found out about the Potters. Mrs Potter was Mrs Dursley’s sister, but they hadn’t met for several years; in fact, Mrs Dursley pretended she didn’t have a sister, because her sister and her good-for-nothing husband were as unDursleyish as it was possible to be. The Dursleys shuddered to think what the neighbours would say if the Potters arrived in the street.”
- Harry Potter and the Philosopher's Stone, Chapter 1 (The Boy Who Lived)
They certainly wouldn’t reveal that secret by telling people that magic exists and they know about it themselves. They took pride in their normalcy, and wouldn’t want to be known as being involved in anything so unusual and abnormal as wizards and magic.
“Mr and Mrs Dursley, of number four, Privet Drive, were proud to say that they were perfectly normal, thank you very much. They were the last people you’d expect to be involved in anything strange or mysterious, because they just didn’t hold with such nonsense.”
- Harry Potter and the Philosopher's Stone, Chapter 1 (The Boy Who Lived)
Telling people magic exists would be the exact opposite of what the Dursleys would want to do - they wanted it, and more importantly their tangential involvement with it, to stay secret.
cannot be obliviated since they have to give Lily's protection to Harry
- I don't think that statement is true. harry needed to live with family. I don't recall anything from the books saying the Dursley had to remember anything about Harry, the wizarding world or anything. He didn't need the family to love him, or be nice to him. Why would actually remembering details about his parents be all that important?