Did they know about the Romans that they conquered 400 years earlier?

Yes, they were very well aware of the Romans. There were many Anglo-Saxon scholars who were literate in Latin and had access to classical histories. The Anglo-Saxon Chronicle has several entries dealing with Roman matters before it catches up with events contemporary with the authors. For example, the entry for the year 435: "A.D. 435. This year the Goths sacked the city of Rome; and never since have the Romans reigned in Britain. This was about eleven hundred and ten winters after it was built. They reigned altogether in Britain four hundred and seventy winters since Gaius Julius first sought that land."

But the Anglo-Saxons didn't conquer Roman Britain. The Romans had already withdrawn and left the Britons to fend for themselves.

Did they know that they originated from northern germany?

Yes, Bede writes "Those who came over were of the three most powerful nations of Germany—Saxons, Angles, and Jutes. From the Jutes are descended the people of Kent, and of the Isle of Wight, including those in the province of the West-Saxons who are to this day called Jutes, seated opposite to the Isle of Wight. From the Saxons, that is, the country which is now called Old Saxony, came the East-Saxons, the South-Saxons, and the West-Saxons. From the Angles, that is, the country which is called Angulus,87 and which is said, from that time, to have remained desert to this day, between the provinces of the Jutes and the Saxons, are descended the East-Angles, the Midland-Angles, the Mercians, all the race of the Northumbrians, that is, of those nations that dwell on the north side of the river Humber, and the other nations of the Angles."

Did they know that they were pagan until the 7th century?

Yes, there's quite a bit of literature in both Old English and Latin about the conversion of early Anglo-Saxon kings from paganism. They were rather preoccupied with the topic.

Did they know that the norse, who they fought for 200 years, were of the same group of people as them?

To a certain extent. They didn't know about the Germanic language family, but they would have understood that their language was similar to Old Norse. They would have also understood that Odin was remarkably similar to their Woden, and drawn the obvious conclusion that there was a relationship between their pre-Christian beliefs and Norse Paganism.

I haven't come across any passages indicating a stated understanding of distant kinship, but this is likely a result of the Anglo-Saxons seeing the Norse as foreign invaders. They often emphasized the differences between themselves and Scandinavians, who they called the Danes regardless of whether they came from Denmark or not, largely because they found their paganism distasteful and were in constant fear of being raided by them. For example, Aelfric mentions that the Danes had a particular hair style and laments that some of his people were adopting it. He constantly complains about heathen customs.