This!!!
I'm about to start a Sejanus Plinth defense squad considering the takes (tm) i have seen on his character.
The reason why Sejanus trusted Snow is because Snow never gave him a reason not to. It is not because he is stupid. Actually I would argue, if we didn't have his internal monologue and we didn't know his future, Coryo's actions before part 3 would make him seem very trustworthy as a friend for Sejanus AND as someone who is willing to defy the Capitol. But we have his internal monologue and Sejanus didn't.
Form Sejanus's point of view, he was bullied as a kid and Coryo was the only one who didn't participate in it.
Coryo was the one who went and met the tributes and climbed with them to the zoo. From Sejanus' point of view, this could be seen as his first act of defiance.
Coryo cheated to save Lucy Gray, the district 12 girl three times. He got expelled because of it, that's literally defying the Capitol.
Sejanus went into the arena to die and Coryo stopped him, putting his own life in danger in the process. Of course he would trust Snow with his life after that.
Snow put on a front. That's the point of the contrast between his extremely unhinged internal monologue and his somewhat heroic action. Lucy Gray fell for it (to a point), Sejanus fell for it , everyone fell for it.
That's not on Sejanus and it doesn't make him stupid.