If Grievous knew that Palpatine witnessed Dooku's death, that doesn't necessarily mean that he knew Palpatine ordered it. One of his droids could have walked up to him and said "Sir, the Jedis killed Dooku and freed the Chancellor." If Grievous knows Dooku is dead, and he knows that Palpatine and Sidious are the same person, and he knows that Palpatine was in the room when Dooku was killed, then it makes sense why he says "But...the loss of Count Dooku!" instead of "Sir, I have bad news. Count Dooku was killed."

However, if he didn't know, then did Palpatine order his own capture? Seems like Grievous was taking all his orders from Sidious and Dooku. Even if Sidious didn't order his own capture, and Grievous came up with the idea on his own, it seems like he'd still run the idea by his superiors. If I were Palpatine and Grievous said to me, "Hey I'm thinking of capturing the chancellor," I might try to steer him in another direction. Or at the very least, make it difficult for one of the armies I'm controlling to capture me. If you're going to play both sides of a military conflict, and your subordinates on one side don't realize you're also the leader of the opposing force, it's probably a bad idea to let them capture you, since they might think killing the enemy leader would win them the war.

In any event, it's pretty clear to me that Lucas didn't think about any of this when he was writing the script, and ultimately it's ambiguous what Grievous actually knew.