I don't know? I guess it's possible. Sam seems fairly surprised to me to find out that the monsters are real. I thought he thought he was going to find out something else, something a little more like Dad's a criminal or is wanted by the mob and that's why they have to keep moving all the time and live in dingy motels.

If they tried to keep it from him I think they would have succeeded up until at least the age Dean was when he learned it was real because I don't think Sam'd be questioning it much at 4 and 1/2 and 5 and he seemed to feel pretty secure all things considered in Something Wicked(where he's about 5), like he didn't really know how insecure his life was yet, it was just normal for Dad to go off and for Dean to take care of him. They seemed to set up the revelation in Christmas as being where he really realized he was unsafe - if they could get mom, they could get dad, they could get us, i.e. none of us are safe.