John doesn't know that Sherlock is with the murderer, but he gleans that it has to do with the case. Right from the start there's something about the relationship between Sherlock and John that can't be explained entirely.
Mofftiss shows us that everything's a matter of "though":

"Though" John has trust issues, he trusts Sherlock of all people.
"Though" John is haunted by memories of the war, he wants to see more of it.
"Though" Sherlock is apparently a difficult man to live with, John doesn't hesitate to do so.
"Though" he doesn't know whether he's right, John defends Sherlock in the drug's bust scene.
"Though" Donovan told John that Sherlock "does that", namely leave without explanation, he isn't convinced that this is done just on a whim and better keeps an eye on him.
"Though" he's known Sherlock for less than 24 hours he risks his neck for him and shoots the cabbie.

Yes, it's a special connection they have that goes further than just logic.
We do love them just because of the "further than" thing, don't we?

Yes, and he already knows that all of the murders have taken place at remote unusual locations.

I love the fact that John is willing to do all these things for Sherlock so early on after meeting him and puts so much faith in him, it really is part of what makes their relationship (and the series) so special! I'm sure everyone wishes they had a friend like John Watson.

Sherlock himself starts to describe the personality of the cabbie's killer to Lestrade when he looks over to John and suddenly the penny drops. Up until that moment even he has no idea that it was John who shot the cabbie. Sherlock gives the reasons why the 'unknown' sniper killed the cabbie none of which are directly because it was Sherlock  himself who was under direct threat. The implication being that ajohn would have done the same for anyone.