Walt's hubris is still allowing him to THINK that he'd dictating the terms of how this shit is going to go down. And as long as he thinks that, he THINKS he's leaving Jessie out of it entirely, in order to help/save/atone/whatever.

He needs Jesise to be out of the picture entirely for that Hail Mary of a DVD to work, however. He's the one living person that Hank could easily connect to Heisenwalt (Lydia and Todd are out there too, but Hanks not up on them like he is Pinkman).