Harry isn't good enough to fool Dumbledore's Legilimency, and he knows that. See Ch. 58:

He had decided to keep the memories. For one thing, they were important. For another, he and the Defense Professor had started planning this a week ago, and Harry wasn't about to obliterate the whole last week, or explain to Bellatrix exactly what needed to be Obliviated. Harry could probably fool Veritaserum, and if Dumbledore insisted that Harry drop his Occlumency shields for a deeper examination... well, Harry had acted heroically throughout.