There is nothing in the files to support your assumption that the McCanns told the PJ about Madeleine's comment because they thought someone may have been in their apartment the previous evening.
Kate told Fiona and the other women about Madeleine's comment during dinner on the evening of the 3rd. It was given as the reason for leaving the patio door unlocked, to allow Madeleine to find them if she woke. Neither Kate nor Gerald told the PJ on 4th May about it. Gerald told them on 10th May, but didn't offer an explanation.
The alternative explanation is that Gerald realised that Kate had told the others about the incident, and that's why he decided to mention it on 10th. I don't know when the theory about an earlier intrusion was first mentioned, but it was reported in the press in September 2007.
Quote from Kates' book re the incident: Page 63.
........But it is my belief that there was somebody either in or trying to get into the children's bedroom that night, and is what disturbed them.
Unquote.
And it is for that reason IMO that they told the PJ of what Madeleine had said.
As for what the others had said: It's the sceptic viewpoint that their friends had agreed to aid and abet covering up Madeleine's death and removal from 5a. Having agreed to be a party to such an horrendous crime I see no reason for them to have any compunction at all about lying re what Kate told them Madeleine had said - if requested to by the McCanns. Obviously none of that happened.
My posts on this were because of the comments made about K&G being lying deceitful people. I maintain that if that was the case, they would not have told the truth about what Madeleine said to them when they didn't have to. But they did tell the PJ - and they told the truth - even though it put themselves in a bad light, IMO.