Why would they have tried to arrest him, though? He went to Zelda with his story, not the king directly, so Zelda would have been the one to take it to her father. We can't definitively prove if Link told them about the sages, but the facts strongly say that he didn't because there's no mention of them outside of OoT. I'd think that they would have at least been mentioned, especially since they gave an entirely new back story to the Ancient Sages & mentioned the war. They would have also mentioned the other sages if they had been important in the battle.