Even knowing that the Parshendi had hired the assassin, he handed over the orb or whatever and said 'Don't let them get this'. I assume he is referring to someone else because he wouldn't have mentioned it at all if he were worried about the Parshendi.
I would assume that if not the Parshmen, then the people he didn't want to get the orb were the people he THOUGHT were killing him. Off the top of my head I don't really remember them (Thaikandar or something? Sadeas was one as well, no? Also, doesn't it seem really, really odd that Gavilar names Sadeas as a potential murderer when Sadeas is the man who pretended to be Gavilar?). Members of the Ghostblood or whatever they were, perhaps?
Not to mention that Gavilar doesn't seem to have any problem with Szeth flying around and running on walls. He just says that he was expecting him. Was he literally expecting Szeth, or just any old assassin? I mean, I'd be pretty surprised if I walked out with Plate and Blade--one of the deadliest men on the planet--and some dude running around on walls killed me. Also, we know Taravangian had knowledge of him and his abilities, so maybe Gavilar did as well.
More interesting, could Gavilar have been a member of the Ghostbloods or a similar organization? That could explain why he has a wonky glowing black sphere thing that he doesn't want other people to get....
And no, like many things right now it makes no sense that he would give Szeth the black orb and say "Don't let them get this" if he meant the Parshendi... but perhaps there is an explanation that WOULD make sense.