For starters, You Should Have Known is the title of not only this book, but Grace's book as well. The book-within-the-book is a blunt look at relationships, encouraging people to pay attention to what potential partners reveal about themselves instead of crafting a perfect "guy meets girl and they live happily ever after story."
How is it remotely possible for someone who considers herself such a expert on human relationships to be so blind to her own husband's psychopathy? A reviewer for the (actual) New York Times suggests that the title of Grace's book-within-the-book is like "the clanging of an alarm, the product of Grace's own subconscious raging to be heard."
That's as good an explanation as any, although we'd like to suggest another one: Perhaps the phrase "You should have known" applies to more characters in the story than solely Grace. Jonathan should have known his lies would catch up with him eventually. Malaga should have known not to hook up with a married man and expect him to leave his family because she was pregnant...again. Jonathan's family should have known he'd lie to Grace about his upbringing and keep her away from them. Almost every character in this book could have benefited from a reality check somewhere in their past.
As for Grace, there are many times readers wish they could shake some sense into her, but since the story isn't only about Jonathan's betrayal, we have one more positive twist to the title: She should have known she was strong enough to find her happily-ever-after without him.