Of course, Philip's first instinct was to tell Elizabeth, not to lie to her or to spy on her. I'm sure he thought that if he could only warn her that she was mixed up in something very bad, that she would see reason and then together they'd figure out what to do. And by 'see reason' I don't mean she'd defect or suddenly decide to join him and work with Oleg. I mean she would recognize that being contacted outside of the normal Directorate S channels was a clue that something was very, very wrong with her assignment and she should go over Claudia's head to get confirmation that her task was authorized.

Right now, she's too exhausted and too vested in doing a good job for her to hear anything he has to say. That doesn't mean that Philip will just give up and turn on her though. I think he'll keep tabs on her for her own good as well as for the good of Russia. (And she'll try to push him away for exactly the same reason.)