Actually, Connie mentions Fredo to Michael in GIII and refers to his "drowning." Certainly, knowing Michael, she had to have known that he was murdered. In GIII Connie knew that Michael was struggling with his past. She also was cold, cunning and duplicitous unlike her character in the earlier films.

I don't believe Tom had any prior knowledge of Fredo's murder although I don't think he'd be shocked by it. He was pretty calm when Tessio, who was close to the family, was taken to his death before his eyes. Granted, Fredo is family and his death would hit closer to home. Nonetheless, Tom, who, I agree, was more compassionate than Michael, probably wasn't surprised, knowing that Fredo betrayed the family.