Q-Who makes no reference to the Borg knowing of the Federation. Q only introduces the Borg to the federation in response to humanity's naivety to thinking they know everything and can overcome any obstacle. This is why Picard says he needs Q, because he's out of his depth.
The only prior contact with the federation was with the Hansen's as seen in Voyager. This would have introduced them to "us", but I doubt we would have been perceived as a threat, considering at the time the only people the Borg had assimilated were 3 civilians and one transport ship.
EDIT: Although the Borg HAD assimilated the colonies along the neutral zone, this was only just prior to Q Who. If you want, you could assume that the cube from system J-25 had assimilated the colonies in the neutral zone, and was returning to the collective at the time the Enterprise D encountered it.