Having studied this in history, Jam is essentially correct in saying that those who were complicit in ratting out the Jews knew the consequence of their actions i.e. death, and yet continued. However, it is unlikely they knew the details of the extermination and the torture. I think it is safe to say that the actions of Mengele and his ilk were not uncovered until later and the method of mass extermination was probably not common knowledge.
In other words, as stated so eloquently above: "The road to Auschwitz was built by hate, but paved with indifference" albeit with a dose of malice and jealousy thrown in.
However, I have just found this:
“Hitler exterminated the Jews of Europe. But he did not do so alone. The task was so enormous, complex, time-consuming, and mentally and economically demanding that it took the best efforts of millions of Germans… All spheres of life in Germany actively participated: Businessmen, policemen, bankers, doctors, lawyers, soldiers, railroad and factory workers, chemists, pharmacists, foremen, production managers, economists, manufacturers, jewelers, diplomats, civil servants, propagandists, film makers and film stars, professors, teachers, politicians, mayors, party members, construction experts, art dealers, architects, landlords, janitors, truck drivers, clerks, industrialists, scientists, generals, and even shopkeepers—all were essential cogs in the machinery that accomplished the final solution.” - Konnilyn G. Feig
It would appear that the allies knew about the death camps around 1942/43.