Yes, they were though the scale of the operation isn't known. That said, intelligence played a large part in the race for the atomic bomb.

The Americans targeted Werner Heisenberg for assassination in Switzerland in March of 1944. An American spy and former baseball star, Moe Bergg, was sent with orders to capture or, if needed, kill Heisenberg. The two walked alone after a lecture Heisenberg delivered, but Bergg was either convinced that Heisenberg hadn't solved the problem or couldn't bring himself to kill him.

Of course, there is no evidence that Heisenberg was on to the assassination plot so that can't be the source of the scientists paranoia.

British intelligence was involved in the heavy water raids in Norway. Allied saboteurs infiltrated the Vemork facility making a critical component of the Nazi bomb project and bombed it. Later, they sank a ferry loaded with the output from Vemork, at the cost of 14 Norwegian lives.

See "Heisenberg's War" by Powers for some of the early work on the assassination campaign and the more recent "Bastard Brigade" by Kean for a more pop treatment of it, and especially the character of Bergg

The main reason the Germans might have suspected they would have been targeted is that some of their facilities (notably the Norwegian heavy water plant) were targeted during the war, and, of course, they had been rounded up, interrogated, and put into the hands of the British at the end of the war — the latter being the circumstances under which they made these specific comments. Thus they were now quite aware that they had been under special scrutiny; if they had doubts during the war about this (which they probably did), they certainly didn't by the time the "British Secret Service" had actually incarcerated them without any charges or trial.

The Farm Hall transcripts are tricky documents because they were produced under strange circumstances (German scientists interred by the British for six months after the collapse of Germany, with no way to contact the outside the world, and only being fed information that the British wanted them to know), circumstances that the scientists themselves were aware of (there are indications in the transcripts that they assumed they were being bugged). The Germans were themselves also trying to reconcile themselves with having lost the war, and having lost the race to develop nuclear technology. So there is a rationalizing quality to all of their discussions, and one that is probably half-directed towards a listening (British) audience. Oh, we couldn't have done it, we didn't have the manpower. Oh, we couldn't have done it, our leadership was crap. Oh, we couldn't have done it, we were better people than that. Oh, we couldn't have done it, we'd have been assassinated.

If you are interested in probing deep into the transcripts, Jeremy Bernstein's annotated version, Hitler's Uranium Club, is essential, because he looks carefully at nearly every line of them to see what they are really saying.

As for actual assassinations, other than the Heisenberg/Moe Berg thing, it was not Allied policy to assassinate scientists. The US did worry that the Axis powers would try to assassinate its scientists, and gave some of the top ones (notably Oppenheimer and Fermi) bodyguards (whose dual role was to also spy on the people they were protecting). I've written a little on the theme of assassination as non-proliferation here; the only nation that has done this repeatedly is Israel, in the later Cold War (and present day).