Captain America (The MCU version) doesn't know about the Holocaust. (And the Avengers have been trying to keep him from finding out.)
- He was frozen before the Holocaust was found out.
- As far as I've heard, no one has mentioned it to him.
- He'd sure be heartbroken if he found out (All of those people... 3 million of them... And he couldn't do anything.)
- Actually, the Holocaust was discovered in 1944 by the Soviets, and even then, he surely would've found out by catching up with history books to see what he missed.