Is there a word for something that's politically sensitive to talk about? Politically sensitive in the sense it's something you are not suppose to say as a politicians because it's a dirty secret that every politicians knows about, but you shouldn't say it loud. I am not sure if there's a word for it.
You're using more than one sense of 'politically sensitive'. Typically, this is used to refer to an issue where there are opposing sides with strongly held beliefs (for example, in the US, people often feel strongly about the issue of gun control). To refer to such an issue, you might say that they are a "third rail," likening the issue to the electrified rail in a subway system (see Wikipedia article). "Political third rails" are subjects that politicians avoid talking about because no matter what they say, they are certain to anger one of the different sides on the issue. An example of usage from the same wiki article:
Sociologist John David Skrentny exaggerates only slightly when he says that at this point, advocacy of racial preferences was a 'third rail' in American politics: 'touch it and you die.'
But you also ask for a term for a secret that many politicians know, but don't talk about. Such a thing is often called an "open secret" -- widely known but rarely talked about. Examples might include the use of performance enhancing drugs in sports, or the infidelities of President Kennedy (widely known by the press but not reported).