I believe that Fredo did know, but not until Anthony gets out of the boat. Think about it... what has happened EVERY SINGLE TIME that Michael has suddenly changed travel plans at the last minute?? (Tessio, Carlo)... Fredo must have been on to that.

I think when Fredo realized that Michael decided to take Anthony to Reno all of a sudden, he knew his time was up. Like a lot of people have mentioned before, when Fredo says "let's go Al." I kind of got the feeling that he was resigned to his fate. At least Neri had the common courtesy to let him finish his hail mary before he shot him.

Of course, this is only my opinion, and my interpretation of the scene. Nobody knows for sure.