In addition to Rebecca's good answer I'd like to say that the hadith shows a couple of things: The Prophet () was not knowing that Safiya had her menses, nor when it started.
The point of this hadith (and this gets clearer when we consider reading it with the other narrations quoted and linked by Rebecca in her answer) is that the Prophet () and all people in his company have had fulfilled their hajj rituals and completed them and have changed to normal clothes after performing tawaf al-Ifadah. This means at this point they could go back to their regular life: wearing "normal" clothes and having sexual relationships etc..
By coincidence this happened on the day of Safiya (), so it was clear for his other wives that he might want to be with her, as they were in his company and that's why they could inform him.
An other possible issue of this "coincidence" is that if Safiya had not performed twaf al-Ifadah yet the prophet () and his whole company would need to wait for her to take ghusl after her menses to be able to depart to where ever they were about to leave. Ibn Hajar in his fath al-Barry holds the opinion that the Prophet () at this point didn't know that Safiya had already performed her tawaf -before the menses started-, and as his other wives had just asked him earlier for the permission to perform the tawaf so he didn't expect her to have accomplished her hajj rituals after being informed that she has gotten her menses. And of course after seeing them returning from tawaf, but without knowing that she got her menses he was clearly expecting to fulfil his spousal duties.
So basically the Prophet () simply didn't know that his wife had her menses right after accomplishing tawaf al-Ifadah and therefor he needed to be informed, about details, as he would never leave his wife alone if she got her menses and needed to accomplish her rituals.
On the other hand the sunnah clearly shows that our Prophet () followed the order of the quran you
may read in sahih Muslim how the Prophet () became angry when some of his companions asked him to allow them having intercourse with their wives during their menses:
Among the Jews, when a woman menstruated, they did not dine with her, nor did they live with them in their houses; so the Companions of the Apostle (ﷺ) asked The Apostle (ﷺ), and Allah, the Exalted revealed:" And they ask you about menstruation; say it is a pollution, so keep away from woman during menstruation" to the end (Qur'an, ii. 222). The Messenger of Allah (ﷺ) said: Do everything except intercourse. The Jews heard of that and said: This man does not want to leave anything we do without opposing us in it. Usaid b. Hudair and Abbad b. Bishr came and said: Messenger of Allah, the Jews say such and such thing. We should not have, therefore, any contact with them (as the Jews do).
The face of the Messenger of Allah (way peace be upon him) underwent such a change that we thought he was angry with them, but when they went out, they happened to receive a gift of milk which was sent to the Messenger of Allah (ﷺ). He (the Holy Prophet) called for them and gave them drink, whereby they knew that he was not angry with them.