They must say something about it. They must have reworked their theology somehow to fit it in.
No, in fact we don’t. (I am Mormon, by the way) Whenever Mormonism encounters a doctrinal controversy, it does one of three things:
- It lies
- It changes
- It ignores
In the case of polygamy, the Church initially chose option 1 until the federal government got involved. Since 1890 (officially) or 1920 (actually, take your pick!) the Church has chosen option 2.
Because of the controversy this posed to the “3 Degrees of Glory” doctrine, the Church decided to select option 3.
I was aware of the teaching that Heavenly Father had sex with Mary, but I wasn’t aware of the “against her knowledge” part. Do you have any documentation for that aspect?
Yes, but I don’t want to look it up and type it up for you right now.

Church leaders were preaching this view of Jesus’ conception until the 1980s. Ever since the Church hiearchy began trying to mainstream itself, this has become a thorny issue. Option 3 has been in effect on this doctrine for the past twenty years.
I believe a few Mormons believe she is the Heavenly Mother. Does Mormonism teach that Heavenly Father has multiple wives? Also are women to be gods too or is it just the men that get to be gods?
I know of no Mormon who believes that Mary is Heavenly Mother. That view is directly contrary to everything that has ever been taught about Heavenly Mother (admittedly, not much). It may be that you have heard of Mormons from denominations other than the LDS Church (the largest one, based in Salt Lake City) who believe that, but again, I find that unlikely.
Mormonism has always taught that Heavenly Father is a polygamist, until recently when they began to teach nothing on the subject at all (Option 3 again!!) The Church has never renounced that doctrine, and so it remains in force, even if no longer spoken of.
Mormon women who are married and sealed to their husbands in the temple and keep their covenants will become godesses when their husbands become gods. However, it is true that in Mormonism a god is not equal to a godess. Mormon men who become gods are equal to upper-case God, women are not. They will be equal to the Heavenly Mother(s) who are subservient to Heavenly Father. Their primary role is to be servant to Heavenly Father and to procreate spirit children for him.