He can't speak to the madness of Targaryens, except for the one who burned his father and brother to death and led to him becoming lord of Winterfell; he does know, however, how events aren't always as the stories tell them. Which is something that Jon will eventually learn, but not today.

"All that would have done was result in unnecessary deaths." Though he is proud to hear that the two of them would have done it, he knows what the chances would have been if they had actually made it anywhere near King's Landing, these two boys. "Nor would Robb have been able to look after Winterfell."