When I first entered the workforce, I was surprised at the number of times that I would hear managers say things like "Let's not tell the client about this until we know whether or not this is a real issue". I couldn't fathom what was so wrong with letting the client know about all of the risks that you're tracking and what you're doing to mitigate them.
As I moved up through the ranks, and began interacting with clients more, I began doing things my own way. If something concerns me, I do my homework to determine how likely it is that the issue will come to pass, and what the impact will be. Then I give my client a call and let them know that I have concerns. Sometimes the issue is something that I'm quite confident will never materialize. Nevertheless, I want the client to know that there is a possibility that it could happen and more importantly, that I'm thinking about it and coming up with a contingency plan.
I do this for no other reason than being truthful is the right thing to do. But the unintended side-benefit is that I tend to gain my client's trust very early on. By showing them that I'm not afraid to raise concerns and that I don't sugar-coat things, I am laying the foundation for a relationship built on trust.
Having a trusting client relationship makes all aspects of project management more pleasant, but the real value comes when things don't go according to plan. Knowing that my client trusts me, makes it much easier to have those difficult conversations that occasionally arise on a project. Over the years there have been many times when a client has wanted to compress a schedule, or omit certain tasks in order to save time or money. Each time, I've had to be very vocal and let it be known that I disagree wholeheartedly with the direction they want to take. To my surprise, this type of blunt approach has never resulted in the client becoming angry or withdrawn. In every single case, my concerns have been met with my client expressing his or her gratitude for my candor. And to my great relief, they have usually taken my advice.
We all have a responsibility to look out for our client's best interest. Sometimes that means you need to get comfortable having really uncomfortable conversations. The kind where you tell the client politely, but in no uncertain terms, that you believe they are wrong. I can't guarantee that this approach will always be successful; but any client worth having as a repeat client is one who trusts you and respects your opinion even when they disagree with you.
Pro tip: If your client doesn't take your advice, and things do go sideways as you predicted, it's never polite to say "I told you so".