Where is there any opinion you shouldn’t tell someone she is wearing shatnez, if you know it to be the case?? What is she is mistakenly, or purposefully, violating Shabbos? What if a cockroach is crawling up her leg? Would you tell her then?
Tell her privately, with no one within earshot.
And your wife you certainly must tell.
And tznius is a halacha, not something we can “subjectively” choose. (The core parts.)