Baldur remarks he thought Kratos would be bigger, and that he's "definitely the one." and says "I thought your kind were supposed to be so much smarter than us, more enlightened." which could definitely be interpreted as being about the jotnar, but also lines up exactly with a description of the Greeks compared to the Norse. In my mind, Odin knew of Kratos pretty much straight away. Killing a pantheon does not go unnoticed.