She not only knew it was missing but, per George, probably knew that it was the last thing Caylee was seen in. I think Caylee was killed in the house on the night of the 15th. KC may have wrapped her in the sheet and took her to the car telling George that she was asleep and that she was taking her to Zanny's house. I think this is a good reason for George to lie to LE about seeing them leave. If he had told them that Caylee was asleep and wrapped in a sheet when she left LE would immediately entertain the possibility that Caylee was dead and not asleep. So that their house would not be suspected of being the scene of the crime, they portrayed the night before and that morning as normal.
It wouldn't be so important for CA to question KC about a sheet that was only missing but knowing that Caylee was wrapped in it, supposedly asleep, would make them think of the possibility that Caylee was dead and not asleep. Instead, there was no fight, GA knew exactly what both were wearing, hugs, kisses, etc. No reason to look at the house as a crime scene, Zanny did it.
Now comes the rumors of Caylee being wrapped in a covering when she was found, the linens on Caylee's bed taken as evidence, and their worst fears are being realized. Caylee was dead when she left the house on the 16th and LE can prove this. Their statements about the circumstances of KC and Caylee leaving become lies and obstruction of justice so that now they need immunity to admit the correct story.
As a side note, I think the reason KC took Caylee's clothes off was so that she wouldn't be found in the pajamas CA put on her before tucking her into bed that night.