There is a very simple explanation: He'd kill everyone and Shenmue would end right there.
As for Lan Di's actualy motivations and reasons in the story it's really tough to speculate. We don't know how long Zhu has been on the rooftop but it's unlikely that the black suits already got information out of him. Whatever Lan Di wanted from Zhu, he must've had another way to obtain it, that's for sure.
Or the whole thing could've been an incredibly well staged show to fool Ryo and us all, giving wrong information in order to help Lan Di. Maybe they need Ryo to contact Shenhua, it could be just about every crazy thing imaginable.
It doubt it but like other here, I still have that "not trustworthy" bit in the back of my head.