Five members of the Avengers received Nick Fury's final letters.
Tony Stark, Natasha Romanoff, Clint Barton, Steve Rogers, and Bruce Banner.
As for the other Avengers, Peter Pakkun was too young and too loose-lipped to be entrusted with such a heavy responsibility. T'Challa had been brought into the Avengers by He-El and was also He-El's student. Nick Fury could not determine T'Challa's stance, so he had not sent him a final letter.
What Nick Fury wanted was not for the Avengers to confront He-El directly. He knew that no matter how formidable the Avengers were, they could not defeat He-El. But they had to remain secretly wary of He-El—wary of everything He-El did.
That was why every final letter sent to an Avengers member said that only they knew about it: so that only they would stay vigilant against He-El.
When an opportunity arose in the future, they could make their move against He-El.
Nick Fury knew full well that every Avenger had a different personality and was brimming with confidence. If they all learned of He-El's abnormality together, they would definitely find a way to challenge him, perhaps even lure He-El into a trap they had arranged in an attempt to defeat him.
But it would be useless. The Avengers were no match for him, and what He-El had displayed was merely the tip of the iceberg. They could only remain hidden and wait for the right moment in the future—when Stephen Strange had gathered enough power and Wanda Maximoff had destroyed the Mind Stone—before confronting He-El together.
Before his death, Nick Fury believed that the future would bring a suitable opportunity. He believed that one day, He-El would become everyone's greatest enemy, standing against the whole world.
That would be the time for the Avengers to strike against