Considering the type of man Michael became in GFII, and all the circumstances leading up to Fredo's death, it's easy to surmise how Anthony knew about his uncle's death. How could he not know? How could anyone not put two and two together in this situation. When you consider the Senate Committee hearings broadcast on national television, Anthony seeing his father's face on the TV, reading the stories in the newspaper, hearing the whispering probably going around his school. The teachers knew who Anthony was, they knew what his last name meant (assuming Anthony and Mary attended public schools.). With all the gossip, and all the publicity, plus maybe hearing all the talk going around the compound, there's no way Anthony wouldn't find out. And Kay definitely knew what happened, she was a smart woman, and she knew what Fredo did. Considering Michael was taking out all his enemies, it was only a matter of time before he whacked Fredo. As much of a shock as it probably came to them (c'mon, Fredo is Mike's brother), I don't think anyone was surprised. Kay, in her sheer disgust for Michael, probably verified Anthony's suspicions on what happened to uncle Freddie. In short, it's impossible that Anthony wouldn't know.