Catelyn does think about it, but she never quite puts the pieces together:
“He has,” Edmure said stubbornly. “The Freys fought bravely in the Whispering Wood, and old Ser Stevron died at Oxcross, we hear. Ser Ryman and Black Walder and the rest are with Robb in the west, Martyn has been of great service scouting, and Ser Perwyn helped see you safe to Renly. Gods be good, how much more can we ask of them? Robb’s betrothed to one of Lord Walder’s daughters, and Roose Bolton wed another, I hear. And haven’t you taken two of his grandsons to be fostered at Winterfell?”
“A ward can easily become a hostage, if need be.” She had not known that Ser Stevron was dead, nor of Bolton’s marriage. (ACOK)
“Everyone thought my lord would choose Fair Walda,” Lady Walda Bolton told Ser Wendel, shouting to be heard above the music. Fat Walda was a round pink butterball of a girl with watery blue eyes, limp yellow hair, and a huge bosom, yet her voice was a fluttering squeak. It was hard to picture her in the Dreadfort in her pink lace and cape of vair. “My lord grandfather offered Roose his bride’s weight in silver as a dowry, though, so my lord of Bolton picked me.” The girl’s chins jiggled when she laughed. “I weigh six stone more than Fair Walda, but that was the first time I was glad of it. I’m Lady Bolton now and my cousin’s still a maid, and she’ll be nineteen soon, poor thing.”
The Lord of the Dreadfort paid the chatter no mind, Catelyn saw. Sometimes he tasted a bite of this, a spoon of that, tearing bread from the loaf with short strong fingers, but the meal could not distract him. Bolton had made a toast to Lord Walder’s grandsons when the wedding feast began, pointedly mentioning that Walder and Walder were in the care of his bastard son. From the way the old man had squinted at him, his mouth sucking at the air, Catelyn knew he had heard the unspoken threat. (ASOS)
That last bit is really amazing, that Roose is warning Walder not to double-cross him when the knives come out, right in front of everyone.