spongebob,
A guy is going to be fired at the end of the month regardless of your actions. That is a given. You learn of it on the first of the month through a blabbermouth peer of yours (you have no business reason to know this, but some people just can't keep their mouths shut).
Scenario 1: You tell him. He spends an extra month bummed out, pissed off, and trying to determine "why?", but never mentions your name. He still gets canned, and loses his house and ends up living under a bridge. Several of your peers know of your relationship and suspect you were the leak, your rate of advancement slows dramatically
Scenario 2: You don't tell him. He has a pretty good month and they reconsider and he keeps his job, house, marriage and never knows that he was on the block.
Scenario 3: You don't tell him. He has an average month and gets canned, loses his house, marriage, and ends up living under a bridge.
Scenario 4: You tell him and he goes to everyone in the company and says "I know I'm getting fired, Bob told me, what can I do to change your minds?" He gets fired, you get fired, you both lose your houses and spouses and live under the bridge together.
Which scenario would you or he prefer? #2 right, but #3 isn't a catastrophe for you?. #1 and #4 are both personal disasters for you. My guess is that all 4 scenarios are about equally as likely. Now do a risk/reward analysis. Scenario 1-3 all have you keeping your job (although #1 kind of sucks). Scenario 4 costs you your job. None of them improve your standing within the company--net reward zero. So you end up with a non-trivial risk for zero possibility of reward. It don't look gray to me.
David