Yes it is wrong that Sid is hiding the truth from Roshni especially since he sees her hurting and missing him so much. And that hurts him as well. He hates doing it to her but he feels he has to in order to trap Shabnam and beat her at her game. I feel the one thing that is helping him is his Roshni. She does not know that it is her Siddharth but being around her seeing her it gives him so much strength to keep fighting. Because in all he is doing it all to save her family his saasural. Roshni has always been his strength and his weakness as well. His strength to keep going but if someone tries to harm her then he will get weak.
One thing I am hoping is Sid shares everything with his family. Mainly because Simran blamed DD for killing him. I want Sid to clear that MU up. Tell them the truth and tell them not to share anything with Roshni. If his parents could keep being Khuranas for so long then I am sure they would help keep this a secret...