Nonverbal communication accounts for something like 90% of how we learn and 'read' other people. Nancy's friends SAW with their very own eyes things that were out of place, things that didn't look right, differences, behaviors of the defendant.
The cops are always suspicious and they look at everything too. I'm not saying they don't make mistakes and get things wrong, but they too use all their senses to make note. Intuition as someone is being interviewed can't be quantified, but cops do get that inner feeling.
So in the early days of the investigation, the cops know that statistically it's usually the spouse or ex that is most probably involved. They would be remiss if they didn't spend time investigating that person. And they see things that set off their antennae. No it's not 100% all the time, but it's part of the whole picture for them.
Nancy's friends KNEW something was wrong. They knew Nancy's behaviors, knew from their prior experiences with her that she was dependable and communicative. They knew how tense things were between the Coopers. You can't just forget all you know when something bad happens. We are an accumulation of our experiences. Of *course* they immediately suspected Brad. How could they not? Not just suspect....felt it deep down (and not because they didn't 'like' him).