Alfred Hitchcock would call this "suspense" and I would agree with him.
Here's the Wikipedia definition:
Suspense is a feeling of pleasurable fascination and excitement mixed with apprehension, tension, and anxiety developed from an unpredictable, mysterious, and rousing source of entertainment. The term most often refers to an audience's perceptions in a dramatic work. Suspense is not exclusive to fiction. It may operate whenever there is a perceived suspended drama or a chain of cause is left in doubt, with tension being a primary emotion felt as part of the situation.
In the kind of suspense described by film director Alfred Hitchcock, an audience experiences suspense when they expect something bad to happen and have (or believe they have) a superior perspective on events in the drama's hierarchy of knowledge, yet they are powerless to intervene to prevent it from happening. Films having a lot of suspense belong in the thriller genre.
"Alfred Hitchcock: The Difference Between Mystery & Suspense"
From the video:
Mystery is an intellectual process, like in a "who-done-it". But suspense is essentially an emotional process. Therefore, you can only get the suspense element going by giving the audience information.
And, on the difference between suspense and surprise:
There is a distinct difference between "suspense" and "surprise," and yet many pictures continually confuse the two. I'll explain what I mean.
We are now having a very innocent little chat. Let's suppose that there is a bomb underneath this table between us. Nothing happens, and then all of a sudden, "Boom!" There is an explosion. The public is surprised, but prior to this surprise, it has seen an absolutely ordinary scene, of no special consequence. Now, let us take a suspense situation. The bomb is underneath the table and the public knows it, probably because they have seen the anarchist place it there. The public is aware the bomb is going to explode at one o'clock and there is a clock in the decor. The public can see that it is a quarter to one. In these conditions, the same innocuous conversation becomes fascinating because the public is participating in the scene. The audience is longing to warn the characters on the screen: "You shouldn't be talking about such trivial matters. There is a bomb beneath you and it is about to explode!" [emphasis added]
In the first case we have given the public fifteen seconds of surprise at the moment of the explosion. In the second we have provided them with fifteen minutes of suspense. The conclusion is that whenever possible the public must be informed. Except when the surprise is a twist, that is, when the unexpected ending is, in itself, the highlight of the story.
That constant sense of "how are they going to address this situation they don't even know exists"... that's suspense.
While these definitions generally relate to thriller-type films, I would argue that they can relate to a wider variety of films as well. For example in a rom-com:
We have a couple, Jesse and Drew.
- Jesse cheats on Drew but Drew has no clue.
- The audience is aware of the cheating because it occurred in the film.
- The audience is left in suspense wondering whether Drew will ever find out and what the reaction will be.
We, as the audience, experience that "feeling of pleasurable fascination and excitement mixed with apprehension, tension and anxiety", waiting to discover if Drew will ever know the truth.