In Star Wars: Revenge of Sith, after watching the security hologram, Yoda and Kenobi would have come to know what happened to Windu. But following from this question, it was still a possibility that Windu could have survived. After all, he was a very powerful Jedi.
Why didn't they search for Windu's body? They could have even saved him if he was fighting with death. And then it'd have been easier for them to kill Sidious.