The only way I can get this to make sense in my head is if Grievous sent him a quick communication in the escape pod, briefly summarizing what just happened, and the scene where he's talking to Sidious's hologram is their follow-up conversation. If that scene is literally supposed to be the first time he's contacted Sidious since his ship was destroyed, then it seems to suggest that he knew all along, which makes the whole abduction seem pretty pointless.

I can just picture Grievous capturing Palpatine and Palpatine's whispering at him, "It's me, you nitwit! I'm working both sides!"

I think this is probably one of the most poorly written parts of the whole PT.