"Quando sentamos, nós sabemos que sentamos e, quando comemos, nós sabemos que comemos."
It is certainly not necessary, but nor is it unusual or wrong to have "that" expressed. But as I am 75, I concede that it may be a little old-fashioned. The second section of each half could well read "we know that we are sitting", "we know that we are eating". Of course, it will be marked wrong; but if we have all reported, it may well be put right.
Sixty years ago I learned that the correct grammar was to introduce a phrase with it but common usage is real language and so many people leave it out that it is not now insisted that one use it. It is handy to think of its possibility of being there, as Spanish and Portuguese will probably have it there.