Another thing that makes me think this is how it went, is because when Swan meets Mercy again, he asks:" Where's the Fox?" and Mercy just reply:" Cop grabbed him".
I don't really think that if she knew that the Fox is dead, she would have told that a cop GRABBED him, but something like "He didn't make it" or more simply "He's dead."
So my conclusion is that they all didn't know that the Fox was dead. So they just thought he was arrested, and probably found it out the days later their "tour" in the Big Apple, reading on the newspapers that a gang member is dead in the metro.
One last thing. I haven't read "Jailbreak" yet, but I really hope they put a scene where Swan or someone of them remember him, maybe saying something that can quickly explain us everything, like:" The day after the conclave I couldn't believe to read on the news that the Fox died that night. Since the first time Mercy told me that he got grabbed, I started to think on a way to take him out of there." --This scene could have been a cool connection with the following story, since now they want to take Ajax out of jail (I guess),saying-- "But we can't do nothing for him anymore. Now we know for sure that Ajax is still in there, and I know that someone of you don't like the idea that one of us is left alone in a place nobody would like to be in. It's his fault what happened to him, but probably we couldn't have made it without his help. He's still one of us. He's still a Warrior."
Okay sorry, I was letting myself go....

ANYWAY! What do ya think?