Only one of my missionaries knew the truth at the end, and he only found out a couple of weeks before I went home. This experience happened toward the end of my two years of service.
Elder Anderson, whom I had known since nearly the beginning of my mission. (He left only six weeks after I did) Tried to encourage me to pray and read my scriptures to regain my faith, but otherwise he was actually very respectful and listened to my situation. He supported me as a friend, and for that I will be forever grateful.
Oh, and just to clarify as I'm sure I didn't make it as clear as I could, I'm not an atheist myself, I'm actually Taoist.
Thanks for sharing your own experience as well.