Turnbull great posts, as always, but I am not sure about the theory that the comment was for the bartender's benefit. When the cop walks into the bar, he treats the bartender like a friend, and assumes he is the proprietor of the place, asking him whether he is open or closed. The bartender lies to the cop saying he just came in to clean up. This means the bartender probably was in some way connected to the Rosato brothers, so he may not have been a complete civilian. It is also likely that after this incident he lost his liquor license. I have always thought that Roth staged this in a way that Pentangeli would live (who knows...maybe the cop was dirty as well and he timed his entrance to make it apppear like he was inadvertently coming in to look around. Certainly the cop would have been among the first to see the half dead Pentangeli, and could well have taken measures to get him some medical help, at which point the FBI took him into custody. I agree that the Senate hearings were a sort of "Plan B" for Roth after the Havana assassination plot failed. I think he probably took some delight in his telling Michael it was revenge for Moe Green, knowing all the while that Pentangeli was alive.

There is another thing at work here, which I don't think anyone has talked much about, and that's Willie Cicci. He is last seen in the street getting hit by a car. Obviously he survived because he was the first witness to testify ("yeah the family had a lot of buffers").
This means he was also in some kind of protective custody, and it means that Michael must have believed that he was also dead. I guess he didn't care much however, because there may not have been much that Cicci knew.