In the second book of the Horus Heresy (False Gods), Erebus reveals to Horus that he and his brothers were scattered in their birth pods on different worlds by the action of the Chaos Gods (although the way it is presented, perhaps to manipulate Horus, the scene seems to imply that the Emperor was there to assist to the event and could have maybe even stopped it, but chose to abandon the primarchs to their fate).
These news come as a shock to Horus, as he was apparently simply told by the Emperor that his brothers scattering "was an accident", and upon hearing Erebus' bullshit he instantly realises that it is indeed very unlikely that they all got sent to human colonies around the galaxy simply by chance.
But the thing is... it doesn't take a genius to get to this conclusion. How could the Emperor's version of "an accident" be considered credible by any of the primarchs? Did none of them even try to dig a little bit into one of the most significant events shaping them - their separation from the emperor as infants - to understand what really happened? Or maybe some did?
I don't really see how the Emperor could have hidden the Chaos Gods' existence from the primarchs if he was pressed even a little bit on this subject.