Harry, Ron, Hermione, Ginny, Neville, and Luna share a carriage from Hogsmeade Station to Hogwarts in Order of the Phoenix. Of course, this is when Harry sees Thestrals for the first time, having witnessed Cedric Diggory's murder a month or so before. When he expresses shock and trepidation at the now-visible-to-him Thestrals waiting to pull the carriages, Ron considers Harry as if Harry were totally mad. Ron is genuinely baffled at Harry's behavior, and expresses he has no idea what Harry might be referring to. Ultimately, Luna is the one who tries to put Harry at ease:
‘Can’t ... can’t you see them?’
‘Can’t you see what’s pulling the carriages?’
Ron looked seriously alarmed now.
‘Are you feeling all right, Harry?’
‘I ... yeah ...’
Harry felt utterly bewildered. The horse was there in front of him, gleaming solidly in the dim light issuing from the station windows behind them, vapour rising from its nostrils in the chilly night air. Yet, unless Ron was faking – and it was a very feeble joke if he was – Ron could not see it at all.
‘Shall we get in, then?’ said Ron uncertainly, looking at Harry as though worried about him.
‘Yeah,’ said Harry. ‘Yeah, go on ...’
‘It’s all right,’ said a dreamy voice from beside Harry as Ron vanished into the coach’s dark interior. ‘You’re not going mad or anything. I can see them, too.’
‘Can you?’ said Harry desperately, turning to Luna. He could see the bat-winged horses reflected in her wide silvery eyes.
‘Oh, yes,’ said Luna, ‘I’ve been able to see them ever since my first day here. They’ve always pulled the carriages. Don’t worry. You’re just as sane as I am.’
Order of the Phoenix - pages 179 - 180 - Chapter ten, Luna Lovegood - Bloomsbury
Why on earth would Ron not know what a Thestral is? They're listed in Fantastic Beasts and Where to Find Them, a first year textbook, under Winged Horses. As well, Ron is a generational pureblood wizard -- how could he not have heard of Thestrals? (It's kind of like Harry not hearing a word about the Trace until he's almost 17, even though he's been accused of underage magic at least three times throughout the series).
When Harry talks about the Thestrals to Ron, Hermione is out of earshot, but it would seem like a conversation Ron might share with Hermione out of concern for Harry. Undoubtedly -- at least I think so -- Hermione would know that Harry was seeing Thestrals, even if she couldn't see the Thestrals herself, and she could have informed Ron accordingly, had Ron confided in her.
Why wouldn't Ron know what Thestrals are?