Ah! Well, this is actually another point of difference between the books and the films!
Book: Thror is not killed in battle. He and his good friend Nar had been trying to sneak into Khazad-dum. Azog caught him, decapitated him, and threw his head out of the Doors of Durin, with the name ‘AZOG’ carved into the forehead.
Nar brings the news of Thror’s death back to Thrain, who musters the Dwarven armies to avenge Thror’s death. This begins the 9-year War of the Orcs and Dwarves, which culminates in the Battle of Azanulbizar in which Dain Ironfoot saw his father killed and then slew Azog in turn.
Movie: Thror tries to retake Moria with an army, but dies and is decapitated at the Battle of Azanulbizar. Thorin chops off Azog’s arm, but Azog survives. Dain is presumably running late? In other words, Dain’s part in the battle of Azanulbizar was handed over to Thorin in the films.
As I have said before, I am quite meticulously sticking to the book timeline. All proposed workarounds tend to make my head hurt, to be frank (it’s enough work as it is without having to re-jig all the dates to fit) ! And so, I like being able to reference the year of an event or the age of a character.
I do incorporate a hell of a lot of the movie characterisation etc, but when it comes to the big events stuff like this, I am very grateful for the incredible wealth of information in the book universe! So, to the question, though: Thrain and Thorin never saw Thror killed, because I am following the book timeline with this one. This is not to say that it would not have been devastating. Thror was the “father of their people”, their leader and father and grandfather and King. To know he died in such a cruel and vicious way, his body desecrated, would have been a massive and debilitating and painful blow. I mean, they began a war because of it, and fully half the Dwarves that took part died. But they would have been spared that sight, at least.
(Nar, on the other hand…)

