In the 2001 film 'The Others,' Anne keeps referring to "that day her mother went mad" which sort of tells the audience that she knows that they're all dead... but, she's just as shocked as Nicholas and her mother at the end of the film when the Old Lady asks them about Grace murdering them.
She even insists "we're not dead" with her mother and brother. But, she obviously remembers something happening to them, as she told her father "everything," as Charles says to Grace.
Grace discusses the situation with Charles as if she also knows something happened, but they don't disclose what. What is it that they think happened, since they don't seem to realize that they're dead?