Why did Grisia keep his magical abilities a secret?
Because he's the Sun Knight. Nothing in the legends say anything about the Sun Knight knowing magic, and therefore anything but holy magic is forbidden to preserve Grisia's status as Sun Knight, and to make life for future knights easier. After all, if "The Sun Knight is a powerful magician" also becomes part of the lore, poor Grisia would be cursed in his tomb to the end of times. Not everybody is born with Grisia's talent for magic, and I don't think it'd be east to find a kid with blond hair, blue eyes, magic and that doesn't suck at being a knight.
Actually because Neo told him he can't do it and Grisia takes everything Neo says seriously, regardless of whether Neo was serious or not.