That's the thing, in Gensokyo they know reincarnation works. Heck, both of them are friends with Akyuu and have met the Yama herself. Reimu is known to be the result of several reincarnations which I believe she's aware of via her intuition. They've presumably been in contact with Yuyuko and Youmu so they know that death isn't the end of it.
I'm really surprised that nobody's done a story that shows them through the ages, with Mokou remaining constant and waiting through each of Keine's reincarnations. A punctuated love taking place over millennia. After all, Moukou's got all the time in the world, she just needs patience to go with it.