Besides... the signs are clear about it... Sarah and Mel act suspisous all the time. Hiding something from Sage, act weird around the whole deal and so on... They are close with Chad, which is shown too...
Sage thaught initially that Mel or Sarah cheats with Chad, but she saw that she was wrong about that, even if you dont tell her that Chad is gay.
There is simply no reason for Mel and Sarah to act like they do around Chad if they dont know whats up.
So we can say... its NOT a "known fact" that mel or Sarah know about Chad being Gay... but its a very fair assumption.
Besides... at this point it doesnt really matter anymore i guess. The only thing left in that storyplot is that Chad has to become clean about it, which he will be after everythign with Magnar is solved i guess. And after that Mel and Sarah will propably tell Sage "sorry, we knew but couldnt tell you" or so.
Also don't forget this dialogue between Mel and Sarah:
ml "If we talked to Sage now, we could give her our version of the story."
sar "It's way too late for that. It would crush her. That we knew all this time and never told her."
ml "Don't you think it's better than her finding out another way?"
sar "It looks like we'll get blamed no matter what we do."
sar "We're gonna have to wait and see what happens."
ml "If she accuses us...what do we say?"
sar "..."
ml "Do we tell her the truth, or do we deny it?"
sar "We deny it."
sar "If she thinks that we're sluts and she ends up hating us..."
sar "Fine! I can live with that. It's just for less than a year; then, she'll be gone."
sar "I'm not telling her the truth."
sar "Not only because it would end up hurting us, but also..."
sar "...if I were in her shoes, I'd prefer the lies."
In short: They have a secret that would hurt Sage in such a way that Sarah would rather prefer the lies if she was Sage.
Imo this can only be about 2 things: Chad being gay or the restaurant, with Chad being gay by far the most likely of the two, especially since Sarah also says something among the lines of "see how well it went" when Sage confronts them/gives them her apology.