You're all forgetting that Sora had the painful Memories of Xion and Roxas himself as well, not only Ven's.
So. Two options.
1) The Memory flow, while mostly from Sora outwards, also went in reverse as is implied in the novels when Namine finds Memories that belong to Riku inside Sora's Heart (explanation about certain Riku-only Memories that existed within the journal). Snarl of Memories explains how those Memories could've gotten there - Xion was absorbing Riku's Memories as well. And if Memories Xion absorbed ended up inside Sora - Sora could absorb Memories from Xion and Roxas as well, not only have them 'leak out'.
2) Roxas was effectively in contact with Sora all through Days 358 to 365 of his existence. That's why Namine could even patch Sora's Memories up - because Roxas, who held everything Sora lacked, was in contact with him (you need to keep in mind that while Roxas merged into Sora in the Virtual Twilight Town, Sora woke up in the real one, and the VTLTW was confirmed to be constructed somewhat along the lines of 'inside Sora's Memories').
So Namine'd have had the time to find the Memories and leave the message in the journal about them during that last week, if not before.
Why do Roxas and Xion need to be saved?
I thought they were both happy united safely once again with Sora
...wot?
Xion sacrificed herself because otherwise, she'd have killed Roxas by absorbing him.
Roxas went away because
he had no choice. Riku turned Rikunort and beat him up, and then he was thrown into Sora until Namine finished fixing Sora's Memories.
Roxas wanted to be his own person. He never got to do that since he was always someone's pawn. And going by his fight with Sora in KH2/FM+ and his Data-clone's attitude towards Data Sora in Re:Coded, I don't think he came to terms with that, not really. He accepts that Sora's his Other or whatever, but it's not like he has much of a choice at this time.