According to Isaac Hempstead-Wright, Bran is already aware that his mother and older brother are dead. The actor who portrays the disabled Stark child says Bran realized his family was ill-fated when he had a vision of Robb and Catelyn in Season 3.
For Sibel Kekilli, the actress who plays Shae, the hardest part of the trial scene was actually when Shae named Sansa Stark as part of the fake plot as well. Kekilli argued with creators Benioff&Weiss to take out that line, but they refused.
Sansa Stark might have gotten out of King's Landing, but she's not in a much better situation in the Eyrie with her Aunt Lysa. It's a twist in pure "Game of Thrones" style, and one Sansa wasn't particularly pleased to see play out.