this is a great question, I have two possible explanations:
- Snape had seen the Dementors and on Dumbledore's orders had not told Fudge the truth
- AND/OR the Dementors do not have any sense of Loyalty to the Ministry and as Hagrid says, they do not care about innocence, so telling Fudge that they were going to perform the Kiss would not have stirred any sense of guilt in them. As Voldemort says later in the books, the Dementors are their natural allies, not of the Ministry's who offer. The Ministry offers them only limited use for their powers.