Oooh what a great idea, because then we'd have a sort of cliffhanger and series 3 could start with Arthur trying to work out how to tell Merlin he knows and how to protect him from his dad. And Merlin still trying to keep his secret, secret unaware Arthur knows. It could provide some great laughs!
Do you mean Arthur trying to protect Merlin from HIS dad ie Uther or from Merlin's dad ie (I think) Balinor? Either would be good. I have a feeling though, as I said above, that Balinor might be a goner. Hope not. It would be good for Merlin to have someone other than Gaius to guide him.
In fact a thought occurs. Maybe the person 'very, very close to Merlin' that he loses is Gaius. Merlin would still need a guide to help him understand his powers, but that could become his father. Oh dear. I don't like that thought!