Look back at the end of GF1 and the reaction Connie had in front of Kay. Michael lied to Kay, and then as the film concludes, there's a horrified look on Kay's face as the door is being shut to Michael's office.

First Carlo disappears, and now Fredo. Correct me if I'm wrong, but I thought Kay had custody of Anthony and Mary post-divorce. She may not have had contact with the Corleones, but the kids would have. Anthony learns Fredo is gone, and tells his mother. Kay figures it's a repeat of the Carlo situation, and she feeds Anthony the line that Michael had Fredo killed.