She arrived at the battle at the head of the Knights of the Vale. Ravens, are actually like email. They didn't show the reply, or LF getting it, because that shatters whatever suspense there may be.
It seemed pretty obvious to me, that Sansa was trying to delay Jon in the prelude to the battle, but she wasn't willing to let her secret out. She knew the Knights were coming. She knew they were close. She met Littlefinger at Moletown FFS. The Knights were in the north already.
She deliberately hid that information from Jon, and hoped that he would decide to delay.
She's playing the game, holding her cards close to her chest, but she doesn't seem to understand there is a time to hold them, and there is a time to let your closest ally, your brother, know that he doesn't have to charge into battle.
Here is the other thing, by the time the battle began, the Knights were going to be at most, a few miles away. This means, that at the very, VERY least, if Sansa hadn't known, she knew a couple of days before the battle. How else would she end up showing up at the head of the army, that did not approach from the direction of their camp, but came from the side, and most likely came from the side due to the fact Winterfel was in their path of march. They had to go around it. This means, that Sansa not only was in contact with Littlefinger, but she had time to leave camp after the Jon and the warriors left, ride to meet up with Littlefinger, and then go to the battle.
If Sansa had not known, then Littlefinger would have arrived by himself, from the direction he came from, with the Vale Knights, OR, he would have moved past Winterfel, past the battle, found Sansa at the camp, and then ridden back to the battle with Sansa, and he would have arrived from a direction BEHIND Jons forces.
She knew. Any way you want to slice it or spin it, she knew. If they make it out to sound like she didn't know in the next episode, then there are all the issues I just listed to reconcile. Basically it would be idiotic to suggest she didn't know.