Edward's sister was fine, at least without any physical injure. But it was obvious that she hid in the wardrobe while watching her parents be killed.
Edward just hugs her as strong as he could, for an entire minute while crying, before looking back to see his parents again, dead on the floor. It was not a quick death, they obviously suffered for a long time.
Cheap blades like the one used here can pierce meat easily but get stuck on bones. Just as happened here, the blade pierced both bodies at the same time, but it was necessary a large amount of effort from the attacker to take it back.
Gremory was looking for signs, something that could lead them to who did this. So he was analyzing the entire scene. This was easy to notice because of the mess done, the wound, and pieces of the blade on the floor. There were also footprints on the place, of the one who did this.
