No, they did not know Halo's true purpose, but later found evidence that could have destroyed their religious beliefs. The "Great Journey" was a misguided belief that activating the Halos would destroy all who were NOT members of the Covenant or those who had been deemed "unworthy". This is evident when Thel Vadamee is told that after he completes his mission as the Arbiter, he will "be left behind." It can be assumed that this dogma was used to keep members faithful, ie: continue doing the prophets' bidding. ("Do as we say or you're not going on the Great Journey" mentality) Further evidence supporting ignorance within the Covenant about the Halos is Tartarus' unwillingness to allow Guilty Spark clarify Halos purpose. "The Great Journey" may have been named for the journey the Covenent took to reach their goals (which in the end they didn't, go Master Chief & Arbiter), or that activating the Halos would send them to some sort of heaven.