So ... how would Kay, and then Anthony, find out that Michael had ordered the hit on Fredo, at least to the extent they believed it for a fact? Who would have told her?
Just off the top of my head (and thus probably missing something), it seems that Kay was still at the compound during the days when they were trying to figure out how to resolve Michael's perjury? That would mean that she was around Fredo, and could have at least picked up the feeling that something huge had happened between Fredo and Michael? Having learned to think like a Corleone, she could easily put that together with the timing after Mama Corleone's death and concluded that Michael had finished his business with Fredo.
As to Anthony, I doubt she'd sit him down and tell him that his father killed his uncle, but maybe she just answered questions honestly and he finally drew his own conclusion, so that Anthony knew but he didn't really know.
