Gwendolyn still thinks she's being magically forced to marry/stay with/be in love with Oswald. Once Oswald is satisfied that she isn't, his conscience is clean, but he's too afraid that Gwendolyn will leave him if she finds out she can. He lets her go on thinking she's a prisoner just so she'll never think of trying to escape.
Actually nobody, not even Gwendolyn herself, tells Oswald that she'd be aware she's under said spell. For all he knows, she has no reason to think she's under a spell that isn't actually on her in the first place.
No, but Onyx tells him that Odin is the one who says she's not under a love spell, which directly contradicts what Odin told Oswald. Odin's a notorious liar, but Oswald never considers that, he just lets it convince him he's not doing anything wrong by waking her up. And he never thinks of telling her even when she find herself completely devoted to him, even though he has no reason not to think she could be under a spell and Odin was just lying to Onyx.
Actually, strike that: having just played Gwendolyn's chapter again, Oswald mopes to himself about how much it must suck for Gwendolyn to be a prisoner to someone she doesn't care for right before the Halja comes for him. Later on, she explicitly tells him that she's under a spell... and that she doesn't care. Oswald immediately launches into a speech about how much he loves her, but never tells her she's not magically compelled to feel that way.
Gwendolyn only mentions the spell in the final cutscene in her epilogue chapter. When Oswald talks about her being chained to him, he's talking about the fact that she was married off to man as a form of payment and she didn't get a choice. I at least believe that this is the first that Oswald hears that she thinks she's under the spell, and got so caught up in the moment that he didn't correct her right away.