Hmm, wedgehed has got me thinking here (or should I say guessing?) I never made the connection that someone opened the drapes after Kay was asleep. I'm going to take wedgehed's logical information and concoct a crazy theory from it.

After the shooting when the alarms were turned on, Rocco came running to the house, and he had a pronounced limp. (Now here's where I make my crazy assumption): He was the one who had gone into the bedroom after Kay was asleep to open the drapes; but he banged his foot against a dresser or something while stumbling around the darkened room.

OK, now I'll get a little more sensible: The alarms are going off, Rocco has arrived at the house, and he sees Michael outside. He is among the very first people to know that the hit failed.

Shortly after, Michael is inside the house talking with Tom while the search continues outside for the shooters. Michael tells Tom his belief that the shooters are dead already, killed by someone on the inside because they botched the job. (Note that when Michael ordered Rocco to capture the assassins alive, Rocco's first response was, "We'll try.")

It is Rocco who leads Michael to the dead bodies of the shooters. Since Rocco had been outside, unsupervised by Michael or Tom, it could have been Rocco who murdered them. When Tom Hagen orders Rocco to get rid of the corpses, Rocco looks around and asks, "Where's Mike?" I don't know if that holds any significance; it could simply mean that Rocco would rather get his orders directly from Michael instead of from Tom. But I suppose one could also theorize that Rocco wants to gauge how closely Michael is watching him. If Michael is on his tail, observing him like a hawk, that could mean that Michael is suspicious of him.

Subsequently, during Michael's travels to Miami and Havanna, he has this different body guard. Rocco seems to have less to do. At the end of the movie, when there is a meeting among Michael, Rocco, and Tom, Michael is harshly critical of Tom because Tom didn't confide a job offer to him. Michael is testing the loyalties of his inner circle, and perhaps Rocco's presence was a deliberate move by Michael to illustrate how he demands absolute fidelity.

Of course, Rocco's other reason for being present is to receive his orders to kill Hyman Roth. Perhaps Michael has been doubtful of Rocco's loyalty for a while, and maybe this is the reason he sends Rocco on what is essentially a suicide mission, for he knows that once Rocco shoots Roth, the FBI agents (or was it the police?) accompanying Roth at the airport will turn their guns on Rocco.

None of this means that Rocco and Fredo were in cahoots, or even that they knew about each other's role. Roth / Ola may have approached each man separately.
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OK, I know this theory has quite a few holes. The more observant Godfather experts can tell me if Rocco always walked with a limp. Maybe he had a limp going back to the first Godfather, but I just never noticed it.

While I was typing this theory, other logic lapses came to me; but instead of posting them here, I'll let the rest of you point them out. It gives us one more hypothesis to debate and argue about; that is, if you think my 'lil old theory is worth debating. Thanks for reading it.