A good bet is that Kay told them. In Washington, when Kay told Michael she was leaving, she finally knew all about him and his ways. There is no doubt that, when Fredo turned up missing, Kay concluded that Michael had him killed. Since Michael grabbed the kids and made Kay out to be a pariah (note the Dreaded Corleone Stare when Kay's about to leave the compound after her visit), Kay had an incentive to tell the kids her side of the story. At some point, I imagine, one or both of them might have said, "Dad says you had an illegal operation and killed our brother-to-be," at which point Kay might have retaliated with, "Your father is a murderer--he killed your Uncle Fredo." Apart from that, Anthony may have been a mediocre tenor but he wasn't stupid--his resentment and fear of his father, which we see glimpses of in II, would have led him to conclude that Fredo's disappearance was no accident.