] Why did they tell her? Did they maybe think they could proactively avoid her taking offense later?

Yes, I think this. Mary would almost certainly see them pass by the cottage, and either call to them out of the window, or give them grief later on when she found out they didn't invite her. Can't you hear her sniff and say, "It doesn't suit the Miss Musgroves to think other people may enjoy a walk on a fine day." ;-) I think they were trying to head her off at the pass.

Their mistake was in telling Mary that they didn't think she'd want to go: "to say, that they were going to take a long walk, and, therefore concluded Mary could not like to go with them..." It's like waving a red flag in front of a bull!

But, if they'd just told her they were going to Winthrop, there's no way Mary would have gone. But I suppose that they saw it as a secret mission, no need for everyone to know until they knew what the results were. They didn't reckon with Mary. ;-)