They could not know something so profound a spiritual matter in the flesh so they never really knew and indeed didn't want some man to usurp them. They were too full of pride to believe, it's what sends anyone to hell. They believed they knew more than He. Their denial of Him being the Christ was based on their pride and spiritual ignorance. They were not saved, so how could they know?
I agree with you on the saved part. However, they had the Scriptures and they studied and they knew them by heart so well in fact that when the King asked they did not have to look it up.....they knew. That was my whole point.
Lots of people know the Scriptures but are not saved. They are then guilty by what they know and will be judged at a higher level than those who do not know. The point is......they would have know that the promised Messiah was there.