They probably didn't have a lot of contact, no, but I'm pretty sure they knew what was going on there. Especially as the head guard.
Yes, he did know. The problem is that the Shoah as we know it didn't really start when Dachau, the very first concentration camp, opened in 1933, neither did it start in 1940, when Auschwitz opened. In fact, the very first inmates of these camps were criminal and political prisoners during their earliest days. It wasn't until in 1942, when Himmler ordered that all Jewish people imprisoned in the German camps should be transferred to the extermination camps Auschwitz and Majdanek, that the mass killing didn't happen.
And I believe I specified this on the background story in his CE profile, but I did basically say that when Rattus saw the first mass transport of German Jews to Auschwitz, he started to realize what kind of person Hitler really is and it made him disillusioned and disgusted at the Nazi regime. Despite that or maybe even because of that, he went on and just continued to serve at Auschwitz, partly because he because he became cynical and lost all hope for the future, and partly because of Pflichtbewusstsein or his Prussian sense of duty. And during his time at the camp, he refused to do anything directly harmful or directly beneficial to the prisoners.
How did Yukina and that alchemist guy meet Rattus exactly?
Neo, the obnoxious alchemist guy, met Rattus first at San Francisco back in 1970. He tried to rob Rattus while he was dealing arms with the Mafia. They tried to kill each other during the encounter, which made them discover each others' immortality. Neo was first offered by Rattus to be his bodyguard after that. He said no at first, but took the offer later on.
Yukina, on the other hand, met the two of them at Tokyo in 1971. Those two guys were being pursued by the local Yakuza via automotive, and Yukina, seeing that they needed help, hotwired a car and crash-dive it to the Yakuza's car. She got injured at the incident especially one of those surviving Yakuza members got out of the car and shot her. Rattus and Neo saw what she did, they got her fixed, interviewed her and she eventually joined them.
These questions have their answers written in the CE profiles, you need to read them. But next question.