I think Kay realized that Michael approved of murder as a tool to get what he wanted even before she married him--when he wooed her in New Hampshire. That's when he said his father was no different than other powerful men; and when she said that Senators and Governors didn't have men killed, he said, "Now who's being naive, Kay?"

The look on Kay's face at the very end of GF says it all: After Michael denied Connie's hysterical accusations, she seemed reassured. But then, when Clemenza walked in, kissed his hand and said, "Don Corleone," Connie knew everything about the murders of Carlo, etc., was true.

I also think Connie made here decision to leave right after the Tahoe shooting, when you see her clutching her child and glaring at Michael. Just a few hours earlier he said he was "trying" to leave The Life; now The Life had nearly cost her life, his and his kids. Goodbye Michael.