It's more he has access to all the knowledge in the world.
Although this hasn't been confirmed, it's very likely that Bran doesn't actually "know everything" in the sense that we all think about it, but rather he has access to anything he knows to look for, here's a nice Quora post explaining this but with him not knowing about Cersei's plan instead of Arya's powers.
So for Bran to “see” things (not counting his warging into
crows/ravens/animals), he has to know to look for it.
So, 3 Eyes (before Bran) wanted to show Bran the Tower of Joy fight
scene and the death of Lyanna. So Bran searched in his Game of Thrones
YouTube folder (well technically 3 eyes’ youtube folder) and they
watched it. That's why Bran really only thought to say “Hey Jon isn’t
Snow, He’s Sand!”. Now if 3 Eye (had planned to before dying) show
that Rhegar and Lyanna were actually in a legitimate two sided
relationship filled with love and nookie, then Bran would know about
Jon being a Targ.
However, Bran didn’t know that and technically didn’t have a reason to
even ask since in his mind, and really anyone’s mind that is not privy
to the R + L = J theory (they wouldn’t be in story), he probably
thinks the key points are Jon is actually a Sand, and Lyanna dyed in
child birth. Maybe he Brangoogles who Lyanna had nookie with to make
baby Jon, but the wedding in the forrest might not be something he’d
actively be looking for.
So unless Bran has a reason to tune into Cersei being a shithead with
Euron channel, he won’t. I’m sure someone could ask Bran to, but it
doesn’t seem like the characters know the full extent of his powers
besides maybe Meera but she’s gone home now.
So like many others, I think Bran can see what he wants, he search to
see what he wants, but like me, unless he wants to see a certain scene
or whatever, its not just all playing in his head.
If Bran Stark can see everything, why didn't he see Cersei's plan with the Golden Company and the mercenaries? - Quora
Although this hasn't been confirmed it does seem likely, and if we assume it is true then he probably wouldn't have known to look for Arya's training with the faceless men.