I've always been puzzled by this as the movie doesn't make it very clear. Grievous seems to be pretty close to Dooku in terms of power and influence over the separatist army, plus he's undergone some Sith training, so it seems somewhat likely that he was in on the secret. Dooku definitely knows, since he was Palpatine's apprentice, and we've seen them on screen together meeting face to face. (One could argue that Nute Gunray should have put 2 and 2 together, but since his only interactions with Sidious were through a low-quality holographic image, I'll let that slide). Furthermore, immediately after escaping from the Jedi, Grievous contacts Sidious and says "But the loss of Count Dooku!" which could imply that he thinks Sidious knows that Dooku has been killed, indicating that he knows Sidious had been in the room when it happened.

However, if he does know, then I really don't understand why he would capture him. Was it all a ruse to lure Anakin to his ship, so he and the two Sith lords could try to tempt and corrupt him? How could they know that Anakin and Obi-Wan would be sent to rescue Palpatine? How did they know they wouldn't be killed before they even got to the ship? Maybe Palpatine predicted that would happen, kinda like he predicted that Luke would confront Vader on Endor? I can't think of a real good reason why they would fake a capture, so I'm kinda leaning towards Grievous didn't know and just happened to kidnap his own boss without realizing it....which still kind of strikes me as pretty bad writing.