I think you only get the option to tell him the amulet was cursed, is if you took the right dialogue option with the raanaar ghost (it is for your daughter). It is the ghost who then tells you the amulet is cursed.
If you took another dialogue option, killed the ghost and then took the amulet, it would seem logical that you don't get the option to tell the merchant the amulet is cursed (because you don't know it either).

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