It doesn’t really surprise me that Xavier knew about Cora’s little visitor, because he probably makes it his business to know everything that goes on in his castle.
What I find interesting is that he obviously ended up knowing everything about Cora and her powers, because he would have seen her rip her own heart out, right? That’s when she did it, when she was in there with him? And he was perfectly happy to sign his son’s life away by letting him marry her, even though he knew exactly what type of person she was. Poor Henry really was screwed over.