Why did Grisia keep his magical abilities a secret?
Because he's the Sun Knight. Nothing in the legends say anything about the Sun Knight knowing magic, and therefore anything but holy magic is forbidden to preserve Grisia's status as Sun Knight, and to make life for future knights easier. After all, if "The Sun Knight is a powerful magician" also becomes part of the lore, poor Grisia would be cursed in his tomb to the end of times. Not everybody is born with Grisia's talent for magic, and I don't think it'd be east to find a kid with blond hair, blue eyes, magic and that doesn't suck at being a knight.
Actually because Neo told him he can't do it and Grisia takes everything Neo says seriously, regardless of whether Neo was serious or not.
In every volume, who knows that the Hell Knight Roland is a Death Knight? Going through the volumes...
Roland doesn't become the Hell Knight until the end of the second volume, so the first volume can be skipped.
The reactions of the other knights towards Roland in the second volume is ambiguous. They do know that Roland is a Death Knight, but it's unclear whether they know if he's now the Hell Knight. Judgment claims that they mind their own business, so they might know but not care. Ice giving Roland shaved ice despite not being able to taste it can be chalked up to not knowing how his body works. It's implied that Adair knows that Roland is still active, but not necessarily that he's Hell.
The third volume has a strange statement, courtesy of Adair. He had Ed tail Roland, and reports that, "Besides being a dead person, he's very suspicious. He doesn't eat, drink, sleep, or use the toilet," to which Sun quickly orders him to stop tailing him. Is Sun trying to get Adair to stop prying and finding out, or is he trying to stop Ed from finding out and telling the others? Adair says that he knows that he's dead already...
The end of the fourth volume has Roland in his Death Lord form in front of all the other knights, so they know by that point.
Either the fifth or sixth volume has a talk where Roland worries about telling his vice captain, so his squad doesn't know.
The seventh volume is tricky, because Roland left the temple after killing Grisia, and is the Death Monarch that is in a state of almost-war. It's not specified who knows what details. Tyler, his vice-captain, is very depressed because Roland left, but he's the only one in such a state. He apparently knows that Roland is now a Death Monarch. It would appear that Roland's identity as the Death Monarch would be well known, if it weren't for the events of the last volume.
In the eighth volume, Roland resumes his duties as the Hell Knight without any external difficulties. Adair even notes that he still has trouble appearing to be alive.