My folks know I OC most of the time, and they have no problem with me carrying in their house. I think the fact they know I'm adept and cool-headed makes them feel safer.
Still, my mom's eyes nearly popped out of her skull when I met them at our local bank to conduct a transaction, as she didn't expect me to OC into the bank! As we sat down to dinner the next evening, I asked her what she thought was going to happen, and she said, "I don't know! I thought maybe the security guard would tell you to leave, if he didn't tackle you first!"
It helps that I go to that bank at least once a month to cut my rent check.
I think the best approach is to avoid OCing in a new situation while with them, one that's neither tried nor true. A string of successes will go a long way towards helping him understand that it's ok. On the other hand, you may never hear the end of things if you do something different and experience a conflict.