but was told either by Louisa or Henrietta. According to the text Mary says:

"Henrietta asked him what he thought of you, when they went away...". So the Miss Musgroves left the cottage, came back later and told Mary what CW had said.
A few paragraphs later we are told by the ON:

"Frederick Wentworth had used such words, or something like them, but without an idea that they would be carried round to her. He had thought her wretchedly altered, and in the first moment of appeal, had spoken as he felt."