We don't actually know that Lady Rochford didn't warn Catherine of the consequences of her secret meetings with Culpeper, we just don't know what the two women discussed in private.

I don't believe that Lady Rochford wanted Catherine to fall. I had a discussion with Julia Fox on our recent tour about why Lady Rochford got involved and she said that she feels that Jane helped Catherine once and then couldn't back out, that it all spiralled out of her control. We have to remember that Cromwell, who Jane had turned to in the past for help, was dead and so she had no-one to turn to, no-one to act as a go-between between her and the King, no-one to confide in about what was going on. She helped once and that made her guilty of misprision of treason, and I think that Catherine or Culpeper probably pointed out to her that she had helped them once so what was the big deal about helping them again.