Answer:
In the case of King Arthur, I would prefer to know the truth about his actual historial existence. The reason is that Arthur's life has been featured in classic narratives, but the supernatural elements of the story have lead to interpreting it as a legend or fiction. Thus, I think there is still a lot to find out about Anglo-Saxon England and King Arthur.
On the other hand, I think as a culture it is better for people not to know the truth about other mysteries, such as alien visitors to our planet and time travel. In that respect, I believe that it is not safe for citizens to possess information about certain mysteries, and it is better to treat them as unsolved to avoid chaos and confusion.