how could she not know if he had told her before the murders he was going to do it.
You don't know what she was told or whether she believed him.
The crime scene 'appeared' to suggest Sheila was responsible, this was the view of the police initially and this is what was reported by the media.
So it's possible that she wasn't sure JB was responsible initially, but became certain and went to the police.
Even afterwards JB doesn't admit it to her.