There are alot of codes of conduct in the scenario. Lucid is a Rogue Vampire and thus one thats hunted by other vampires and ponies like Derpy because they are usually law breaking or caused some major problem. Since he is her Sire it makes sense that Melody would seek to protect him, or more importantly, keep Derpy out of THAT big pile of vampire drama.
While its true that Lucid helped DErpy, if the other knights found out that Derpy witheld information about a Rogue vampire intentionally, it might cost her the job. So Melody decided to lie to protect both her sire and her adorable friend from danger.