I think interaction between Cordelia and Anya could have been interesting- Like a blunt, bitca battle of wits; both would want the last word!
I mean the only interaction we get between the two is in The Wish, but that's while Anya's a demon so she was playing pleasant sunny cal girl and not the real blunter-than-Cordy Anya.
However, I kinda get why we didn't get much scenes of the two of them. Because they were so alike, to have so many scenes of the two together may have like OD'd us. Hehe. Anya was intended to be a sort of replacement Cordelia on Buffy season 4 onwards and so the two together we would have too clearly seen how alike they were perhaps. I'm just thinking aloud..or typing aloud....a general aloud theme.
But I think Cordy knew the two were dating. Well, at least she knew Anya and Xander were each other's Prom dates because she sees them, but I doubt she ever knew more than that. I don't think it was like lack of caring or interest on either side it's just they didn't live in each other's worlds anymore so there was no reason for Cordelia to know about them getting married.
Plus, like Gategod mentioned Cordy was presently evil ex-higher power end of the world all in black chick at the time Anya and Xander (almost) tied the knot. (Oh and also- Gategod, thanks for the reputation comment on my banner on another thread. I tried to like thank you there then I realized you can't really reply to repuation comments....haha)