Their studies with the darkness of the heart was a huge thing to keep from their Master. Along with it, they kept the Heartless, the Heart of the World, and the Door all secret from Ansem until he found it himself.
Well, they didn't, that much is obvious. They didn't talk to Ansem about it at all. For, like I said, he held no knowledge about the Keyblade until Mickey showed up less than a year later.