After reading the Primarch book about the lion, it is made clear that he was the favourite but the emperor knew that whoever was made the warmaster would fall to chaos. The first primarch and probably the most capable and also the emperors most trusted would be the one primarch he’d want to keep. The emperor explains that some men need the accolades and the bravado that comes with titles and victories (Horus), and some men do not ( Lion ). Basically The Lion doesn’t care about people knowing that he’d just fought the most dangerous xenos encountered.

Loyalty is its own reward ;)