One of the earliest accounts of cicadas by colonists in the New World comes from a book called "The New-England's Memorial" by Nathaniel Morton. Moreton was a colonist in the Plymouth Colony and published the book in 1669. His uncle was William Bradford, the governor of the colony, which gave Moreton access to individuals and documents from the early days of the colony. The book itself is an incredible historical document as it listed all the names on the Mayflower Compact (after the compact was lost to time) and has one of the earliest accounts of the first Thanksgiving. But on to the cicadas. The book says the first big cicada emergence was in 1633. Moreton wrote:

It is to be observed, that the spring before this sickness, there was a numerous company of flies, which were like for bigness unto wasps or bumblebees ; they came out of little holes in the ground, and did eat up the green things, and made such a constant yelling noise as made the woods ring of them, and ready to deafen the hearers ; they were not any of them heard or seen by the English in the country before this time ; but the Indians told them that sickness would follow, and so it did, very hot, in the months of June, July, and August of that summer. [Link]

 

As you can see from this document Native Americans were very aware of cicadas, but they did surprise European colonists. However, colonists quickly adapted and within a few decades they generally understood the cicada lifecycle. By the early 1700s, really the only thing they questioned was the length of time between emergences and whether cicadas were locusts or some other insect. [Link] It is important to note that "common" colonial people and Native Americans were both very in tune with the natural world, much more so than we are in the present. The majority of the population lived in rural areas and even cities were not very large. Farming or other types of outdoor work were the prevalent jobs. What I'm getting at is that while they didn't have the "scientific" literature that we have today, people of the past were still knowledgeable about the environment. They may not have been literate enough to leave documentation about cicadas, but they were certainly aware of them. Educated people at the time could also be knowledgeable about the natural world, as that was one of the many subjects that was acceptable for "learned" men to study. Much of the knowledge that we have today about what colonial people thought of nature comes from educated naturalists who studied it as a hobby.

 

If you're interested in learning more about colonial ideas of the natural world there are two books I can recommend:

1. The Untilled Garden: Natural History and The Spirit of Conservation in America, 1740-1840 by Richard Judd

2. Plants and Empire: Colonial Bioprospecting in the Atlantic World by Lisa Schiebinger. This book is more concerned with the Caribbean, but it does a fantastic job showing how knowledge about the natural world was shared between colonists, Native Americans, and enslaved Africans.

If you want to know more about the evolution of ideas about the natural world and the development of "ecology" as a field, the bedrock for that work is Nature's Economy: A History of Ecological Ideas by Donald Worster.