the wrong way. CW comes to the cottage, sees Anne for the first time and leaves accompanied by Charles and Henrieta and Louisa ("their visitor had bowed and was gone, the Miss Musgroves were gone too"). Mary and Anne stay behind. Just a bit later we learn:

...for after the Miss Musgroves had returned and finished their visit at the Cottage, she had this spontaneous information from Mary --

"Captain Wentworth is not very gallant by you, Anne, though he was so attentive to me. Henrietta asked him what he thought of you, when they went away, and he said, "You were so altered he should not have known you again."

So I understand the Miss Musgroves returned to the cottage and spoke again with Mary (and Anne?). To me this implies that either Louisa or Henrietta told Mary about it.

It seems to me the crucial point is the part "when they went away", I always thought this meant the moment the Miss Musgroves leave Charles and CW to return to the cottage, but perhaps I misunderstand the ON?