As I suggest in my ACOK chapter essays, I think Melisandre told him that it was a necessary ritual (to prove his faith or to purify him or something), but didn’t tell him why it was necessary or what it would do. After all, “Melisandre has gazed into the flames, and seen him dead.” If R’hllor is the one true god and Melisandre’s visions are true – both propositions that Melisandre has gone to great lengths to try to convince Stannis of – then there’s no need to take action, much less to use black magic (which would seriously undermine those propositions) to kill him.
And after the fact, I think Stannis was in deep denial about what he had subconsciously experienced in the night – “I dream of it sometimes. Of Renly’s dying. A green tent, candles, a woman screaming. And blood….I was still abed when he died. Your Devan will tell you. He tried to wake me…Devan says I thrashed and cried out, but what does it matter? It was a dream. I was in my tent when Renly died, and when I woke my hands were clean.”
Your case that Stannis doesn’t know about the shadow babies has always been very strong, Steven.
But when it comes to Ser Cortnay Penrose… all I can say is that in my opinion, Stannis absolutely knows she killed him. Not necessarily about the shadow babies per se, but about the murder. He might not ever admit it out loud, but “Melisandre needed someone to get her inside Storm’s End, past the walls, and then the next day Cortnay Penrose was dead” requires a level of self-delusion so immense it beggars imagination, especially coming from someone as hard-headed as Stannis.
I don’t think even his new faith can make him that blind. Stannis has never behaved with the zealotry of a convert; his conversion to R’hllorism has always been framed, by himself and by the narrative, in immensely practical terms. He didn’t give up his intellect or undergo an immense transformation the process. He knows. He absolutely knows.
And on the off-chance he doesn’t… that level of willful self-delusion and blindness would call into question his qualities and fitness for kingship, in much the same way his brothers willful blindness did.
Penrose is something of a tricky case. On the one hand, we have “Ser Cortnay will be dead within the day. Melisandre has seen it in the flames of the future…Her flames do not lie.” On the other, there is the mission he sends Davos on. Then again, there is the theory of multiple futures, and actions needed to go with one rather than another…
As I said in the essay, I don’t think Melisandre said “if you smuggle me under the walls, I can kill him with a shadowmonster.” I think it was couched as a ritual that needed to be done in a place of power to gain the favor of R’hllor and bring about the more favorable future, or something similarly abstracted.