There are two ways to approach questions like this:
1) The Events of the Myths Really Happened
2) The Events of the Myths Are Stories/Propaganda/Explanations/Metaphors/etc
If you've been hanging around me or my blog(s) for any length of time, you probably now that the fiction writer in me favors the first approach -- and imagining these characters and trying to discover their motivations and understand the choices they might have made is where a lot of the fun of writing about them comes from. So with this question, it's only natural that I'd start with the more literal perspective. (It's more just more interesting guys!)
The Short Answer:
I suspect that they were less clueless and more just uninformed.
The Long Answer:
Here's the thing. Today, if some king's daughter were kidnapped by a really pretty bull, the whole world would know about it. Or at least the part of the world that pays attention to that kind of information, anyway. (She'd also be found and returned home, probably, rather than dumped in another country to marry into their royal bloodline, but I digress.) Back in Europa's time? It was probably more of a quiet, regional event. Why should she expect the bull of being a god in disguise, intent on stealing her away, if she'd never heard of Zeus pulling that kind of stunt?* Maybe, possibly, some kind of rumor of Zeus coming down as a shower of gold to... make sweet love? to Danae** might have been making the rounds somewhere in the Peloponnese, but it is REALLY unlikely the story would have made it as far as Phoenicia, where Europa was hanging out with her maiden friends, enjoying the attentions of a particularly tame bull.
Now maybe these two examples are cheating, because both of these women were earlier victims of Zeus' proclivities, but the fact remains that there are no guarantees that any one of the importuned women who followed would have had extensive knowledge of the god's other exploits. There's a couple of exceptions of course. Alcmene, for example, was the granddaughter of Perseus, so the story of Great-Grandmother Danae could easily have been part of family lore before her run in with Zeus and the subsequent birth of Heracles. But since Zeus took the form of Alcmene's own husband, Amphitryon, there is really no possibly way that forewarning might have helped her avoid his attentions.
It's easy for us to see all these stories laid out neatly and chronologically, with repeated themes of Zeus putting one over on some poor beautiful girl, and wonder why these people couldn't figure it out. But the truth is, those stories weren't assembled into the written word at all until centuries after the fact. If you consider that the Trojan War was basically the end of the Age of Heroes, and all the philandering that entailed, then the majority of these events would have taken place during the Greek Bronze Age -- the Mycenaean and Minoan periods. At the end of which, civilization kind of collapsed and the Greeks not-so-promptly forgot how to write for several hundred years.
Oral history is a lot more limited, regionally, though Homer provides us with evidence that even oral stories could be spread -- if the bard thought the audience would be interested. But if he didn't?
Well. It sure makes me appreciate the bounty of the internet for self-education, that's for sure.
*Europa was mother to Minos, which means she was at least one, maybe two generations before Theseus and Heracles.
**Danae was the mother of Perseus, who was himself the very FIRST of the Greek Heroes. He did not actually ride Pegasus, and the Kraken is a sea monster out of Scandinavia. Just for the record.