Given the backstory given earlier in the comics of the CK's origins, it seems as if the story would be handed down as knowledge through generations of Eld's line. He seems someone the protectors of the Tower might want to have kept an eye on periodically. Roland certainly knows more about him in books 5-7 than he did previously. It's just another example of the change in continuity present through much of the progression of the books. It's always debatable whether it was necessary, but I dislike a lot of it with regard to the comics.
Oh, I'm sure that the gunslingers knew of the Crimson King. In Wizard and Glass, for example, Steven Deschain tells Roland:

"Its only by the grace of the gods and the working of ka that you have not been sent west, one more true gunslinger out of Martens road....out of John Farsons road....and out of the road of the creature that rules them."

Roland probably knew vague legends of the Crimson King too....probably under one of his other titles like Lord of Discordia or Los' though, since he's unfamiliar with his Crimson King title and only works out the connection as the series progresses.