I have to disagree with the idea that Mary didn't know Charles proposed to Anne. Although it is never clearly stated, I think it would have been fairly common knowledge that he proposed and she turned him down. It says in the text that he proposed to Mary "not long afterwards" which could mean anywhere to a few weeks to a year.

I think they were all friends growing up and Charles clearly wasn't deeply in love with Anne (or Mary) but I think Mary liked the idea of being married and moving ahead of her sisters socially, as a married woman, so she wasn't too upset that he had asked Anne first. After all, it was still (I think) socially accepted that the older daughters marry first, and clearly Elizabeth didn't think he was good enough, so Anne would logically be his first choice. When she said no, he just good-naturingly moved on to Mary.