Correction: it is Harry's observations of the general public of the wizarding world, which is far from the same thing. There are many possible worlds in which a number of powerful wizards know for a fact that souls exist, and live their lives accordingly, but which look exactly the same to Harry. In fact, it's rather probable that a world in which a minority of wizards are aware that souls really exist would look just like this one. Imagine what it's like to be a member of such a minority trying to spread the truth. "By the way, souls really exist." "I know - everyone believes in souls." "No, I mean it - souls actually, literally, exist. So you shouldn't be too sad when people die, because they're just going somewhere else. And you shouldn't be too sad about your baby being stillborn, because it'll have another chance at happiness in the afterlife. And depending on their circumstances, severely disabled people might be better off comitting suicide so they can move on to a healthy existence faster. And- hey, where are you going?" I'm not saying any of those are necessarily reasonable conclusions to draw from the existence of souls, but it makes the point. Trying to live like this will automatically put you at odds with the rest of society, who will at best treat you like a crazy minority religious sect. So most soul-aware wizards will probably keep it to themselves, resulting in a world where Harry will be unaware of them.

Even if souls exist and everyone knows this, evolution would probably still select for humans who feel grief after their loved ones die.