The point of sharing the information would be to share your struggle with someone else. Obviously, if a wife has no problem what so ever with her husband cross dressing and letting her friends know (as he may want to cross-dress in front of others) then she may not think she needs any emotional support.
But what if she does not feel comfortable with his cross-dressing. What if he wants her to keep it secret because he doesn't want anyone to know? What if she is struggling to comprehend why he would want to wear women's clothes?
Could not keeping the issue 'in the family' also act like an invisible prison much like any other type of 'secret' that is not discussed with those outside the relationship?
At what point would a wife feel compelled to share the 'secret' with others?
I would like to suggest that the longer the issue is 'kept within the family' the longer a wife is forced to struggle with coming to grips with it (and its impact on children) alone.