At the time of his death Germany was less than a month away from capitulating, US forces had taken Iwo Jima and most of Okinawa. He knew about the completion (or near-completion) of the Manhattan project. Did FDR know before he died that the Allies would be victorious in their unconditional surrender of all Axis powers? Surely the writing must have been on the wall by then, and post-war plans must have been ironed out for the most part at Yalta.
Almost certainly in Europe. With the Americans and Soviets both marching into Germany itself, and a general German failure to pose an effective defense against the allies at this point, it was clear.
Japan is a less obvious question but he likely knew that it was most probable given American victories in Japan, especially post midway.