Thesis: including an information not officially accepted (legal issue) In the preface of my thesis, I have written an information that involves me, my supervisor, and my university, in a project driven by a government agency. I say in the preface that I have designed the early plan of the project. This plan was crucial, as my expertise. The problem is that the agency fooled us: they took the plan and details associated to it (that I gave them), used it (I can prove it), fired us from the project, and made results of the project public (via online media, magazines, etc...); the public information only mention the agency, not my university.

Now, here is the thing. My supervisor do not want me to mention my involvement into this mess, although I want to mention it. It would be too long to explain why and all the details related to this story so here is my question:
What could be the consequences of claiming my participation to the project in the thesis?

The agency never includes us when they talk about the project. Officially, I (or we) are not included.
As you say, it is a legal issue and you need to get proper legal advice elsewhere. It may well be that the government has the legal right to do what they did and you have no safe alternative. Not every government action is just, but they still may have the authority to act. There are places where fighting the government is dangerous, of course. 

However, the more important question for you is how it affects your dissertation and, ultimately, your degree. If that is unaffected it might be wise to just let this go, even though it may impact on whether you can publish what you have done. 

I'll guess that your advisor is giving you good advice about standing clear of the mess. There are times when you need to fight, but also times when you need to retreat in the face of authority - especially when it can have a big effect on your future. 

Stay clear of the agency in the future, of course.