I read the theory somewhere (maybe tvtropes?) that Sheridan thought that he didn't go to Z'Ha'Dum in the future where he meets Delenn and that this was the cause of the distruction he witnesses there.
Spoiler: Season 5
Which would also explain why he never does anything about that and, in fact, seems to forget about it completely.
Maybe Delenn has convinced herself that it was the other way round - that there would have been less casualties if Sheridan had not gone to Z'Ha'Dum and that they would have beaten the Shadows anyway.
Also I think that he didn't tell Delenn that he knows that he is going to die, because he doesn't want to discuss it; he sacrifices himself but he wants to cling to the hope that he will come back, however feeble. (And maybe he was afraid that the Shadows would have a way to hear it if he told Delenn about the bombs. Especially since there are invisible Shadows running around the station.)