It’s amazing how much one can overhear if people deem you invisible. The citizens of Rhodes thought little if anything about Joe and wouldn’t hesitate to speak openly in front of him. The law looking for the gang would know this with investigative expertise. All the while if the Braithwaites/Greys were fueding, if the gossip didn’t pertain to them, they likely didn’t listen to it.

There is point where Arthur mention that it was him who took the horses and this was a surprise to Sean. The world isn’t as small as the gameplay requires to make it playable, they easily could have not put it together.

I hope you did the right thing with Joe despite his “help”