Sam had left the family business and was pursuing a normal life; whereas Dean was completely involved in that life. There is no reason to tell Jessica.
Lol! This show was designed to be a guy’s show. A pretty scantily clad girl is precisely what should be expected. I think one could find fault with some of the set ups, such as Sam saying he’s had nightmares regarding Jessica, yet, leaving her to help find John. We all have nightmares and carry things around in our minds that catch up to us in bad dreams. Sam loves this girl and has built a life completely different and presumably distanced from all his childhood trauma. He lost a mom that he never really knew and left a family whose soul purpose was to fight evil while avenging his mother’s horrible nightmarish death. Dreaming that Jessica would die the same way could have been interpreted as fear of losing her too. He had no understanding that these were visions or any reason to believe they were anything but manifestations of fear.
I think they did a fine job introducing Sam and Dean. I have loved them til this very day.