How exactly was Cromwell supposed to have missed out on that story?

That was certainly the most clumsy dialogue of the entire episode. Mind you, I get that they needed the exposition for the audience (not all of whom would know, even in this day and age), but it might have been best to let, say, Rafe, who is young enough to have been born in Henry's reign, ask how the King came to be married to Katherine in the first place. Or Cromwell's daughters, even.

Anne: well, Mantel's Anne isn't my idea of Anne, but she's a hostile version within plausibility (as opposed to, say, Philipa Gregory's Anne, who is ridiculous), and that's, going by that one scene, is whom Claire Foy plays.