Perhaps forewarned is forearmed would suit. From Oxford Dictionaries:
Prior knowledge of possible dangers or problems gives one a tactical advantage.
Though it doesn't specifically reference the grief that such knowledge might bring, it is very frequently used in the kind of situation you describe.
There are often warning signs of dementia, when a parent or grandparents begins to show signs of forgetfulness and inability to cope with the everyday demands of life. That’s the time to start planning for problems. . . . Discussing these things isn’t always easy, but forewarned is forearmed: by facing future difficulties now, we can ensure that they are much less harmful when they do strike. ("The Forgotten Funeral", SafeHands Funeral Plans blog)
The expression “forewarned is forearmed” is perhaps nowhere more critical than in regular biochemical examinations for cancer. (Mission Statement, American Metabolic Laboratories)
I don't want to scare you; these things may never happen, (in fact, they probably won't), but forewarned is forearmed. (Lungevity.com discussion forum reply to "Questions about brain tumor - Please help!")
I am aware of the cumulative effects of chemotherapy which may make each cycle harder than the last, but at least I am now prepared for what a cycle can do to me, and so going forward I will know better what to expect, and forewarned is forearmed. ("The Only Way is Up", And today's silver lining is..., October 2011; blog about the blogger's experiences during treatment for cervical cancer)
And an example juxtaposing this proverb with your original proverb:
Possible advantages [of newborn screening] include the offer of genetic counselling before any further pregnancies, the avoidance of distressing diagnostic delays and the ability to plan realistically for the future ('forewarned is forearmed'). These potential advantages may be offset – in at least some families – by the distress of an early diagnosis spoiling the first few years of the child's life ('ignorance is bliss'). (Evelyn Parsons & Angus Clarke, Culture, Kinship and Genes: Towards Cross-Cultural Genetics, 1997)