I was watching PBS documentary [Behind Closed doors](http://www.pbs.org/behindcloseddoors/). According to that documentary Churchill and Roosevelt were not really sure if Stalin really understood about 'the new kind of weapon' when they mentioned it to him during Yalta conference since Stalin's only response was 'Ok. Thank your for letting me know'. But Stalin apparently knew all about it through extensive Soviet espionage in the Manhattan project. 
My question is how were America and Britain so clueless about soviet espionage?