Petunia didn't need to know about the Prophecy. We also don't know if Petunia corresponded with Dumbledore, perhaps the first letter she recieved was the letter left with wee barren Harry. I think that Petunia had some connection with the Magic world, obviously she is in some sort of debt with Dumbledore.

Now I'm confusing myself. The point I was trying to make was all that Petunia had in the last letter was "Remember my last," and that the Dursley's are going to tread lightly around Harry, but let him stay there because of that. Also, at the end of book 5, Moody scares Vernon with his eyeball, kinda of warning the family to be nice to Harry.