...before their engagement than they were about Denise not telling them about Martin and Olivia two years earlier!?

Probably because they had no physical contact with Denise and Denise was a flighty flaky character so her marriage was just one more weird thing she'd do. Plus she married a high status guy so that helped. In Vanessa's case, she was home from school for the summer and holidays and she was keeping this secret from them so its more shocking.