Here is my take in all of this....
Even if Bajaj knows about sneha being alive it doesn't make him anymore wrong than anurag. Anurag has a lot of faults here. More so than bajaj. He took matters into his own hands and didn't bother consulting the person he claims to love oh so unconditionally. Komolika told him she have evidence of prerna killing viraj and to save her from prison he has to kill her. So he did that. Which means he never planned to have bajaj save her. Bajaj as usual had eyes on prerna. He is always 5 steps ahead. He knew all anurag plans. So that's why he had his people tell him what's going on and he came right on time. Komolika send sneha to an orphanage probably telling anurag they can't keep her and she will be better than only to plot to kill her. So I think anurag believes sneha is still in an orphanage. Bajaj got the news where sneha was and tried to reach there in time to save her after saving prerna.
I also always felt that anurag felt troubled by the fact bajaj is the father of sneha. Which we all know isn't true. But I feel somewhere inside of him it bothers him.