Penguin and Victor Zsasz may not have known with absolute certainty that there were two thieves at the docks, but it was a solid deduction since it wouldn't be smart to take on a job like that alone. Plus they suspected someone on the inside of helping the thief out, hence another reason they referred to the thieves as plural.
While Alfred did not see the thief at the docks, Bruce did. While Bruce couldn't see that the thief was Selina, due to her mask, it would have been obvious to Bruce that the thief was a woman, Selina has a distinctly feminine looking figure in those skin tight leather pants. So Bruce would have relayed the fact that the thief was a woman to Alfred.
In reference to the harbor activity early on, Penguin's goons later inform him of thieves - plural - but they never saw the one inside the truck, so they shouldn't know there was more than just Bruce.
When discussing that same harbor scene, Alfred later refers to the other thief as female, which he couldn't know since he never saw that other person.