It depends on one's own risk factors. It's REALLY important to know about the holocaust if you're jewish or have jewish ancestry, but arguably safer or at least more pleasant not to if you don't.
I think the moral question (as opposed to the practical safety question) of "is it better to know a dark truth or not" will come down to whether or not you can effectively influence the world after knowing it. You can categorize bad things into avoidable/changeable and unavoidable/unchangeable, and (depending on how much you value truth in general) knowing about unavoidable bad thing will only make you less happy without making the world a better place.
unfortunately it's pretty hard to tell whether you can do anything about a bad thing without learning about what it is.
It's REALLY important to know about the holocaust if you're jewish or have jewish ancestry, but arguably safer or at least more pleasant not to if you don't.
If anything, my impression is that knowing about the Holocaust has made my mother significantly less realistic with respect to assessing potential threats faced by Jews in the present day.
On the other hand, to the extent that it represents a general lesson about human behavior, that understanding might end up being valuable for anyone. Being non-Jewish may actually make it easier to properly generalize the principles rather than thinking of it in terms of unique identity politics.
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.