Of course they knew, but none of them have the balls to ask Kaido about it when he says his son. Her gender seems nebulous at the moment - and I know, it’s 2020, gender itself is a social construct we’re better off dismantling - but they’ve probably known about Yamato for a long time. Her existence seems like a secret outside of the crew, but even that can be retconned; the SHP don’t know a lot about the world or big players in it until they’re confronted by the same.