Yes, after the young Mormon lad (the Lion's son) asked his father and was told to sod off, the lad's brother came out and told them where the sect was anyway. The Swede knew before hand that Cullen's family were with the sect from his time with The Lion, he just didn't know where the off-shoot Mormon's had wandered off to.
EDIT: I realize you might have been asking if there is a specific scene where we see The Swede finding out Cullen's family are with the runaway Mormons -I don't recall. There may very well be a scene like that, perhaps someone with a better memory will know! Either way I think it's a fairly safe assumption The Swede was aware of Cullen's wife joining the off-shoot's, given his prominence in the Mormon hierarchy.