I don't know of any sources directly about Stephen knowing this either, but it seems a fair assumption that he probably knew of it. The printing press disseminated news of the western discoveries very quickly around Europe, and Stephen lived for another 12 years. During that time both the Portuguese and English had expeditions return from the Americas.
However, for most of that the time what exactly had been found was up for debate. Columbus went to his maker in 1499 insisting he'd been visiting the Indies (in the Indian Ocean) the entire time. The first known use of the geographic term "America" wasn't until 3 years after Stephen's death.
I seriously doubt Stephen had much reason to care about it though. His outlook and ambitions seemed very much continental.