Yes, for all we know, the BO (except Vermouth) thinks she is dead. Why doesn't Gin question Vermouth because there was no body found? Because unlike with Akai's death, Vermouth didn't use a single, small bomb, but instead a train carriage full of C4. With Sherry standing right beside it, there shouldn't be anything of her body left after an explosion. And any DNA splatters or anything that would've maybe been left would've been destroyed by the fire afterwards. Also, did you really feel like Gin was thinking about capturing her all the time? It wasn't even his mission and between Reunion with the BO and the Mystery Train, I don't recall ever seeing him thinking about Sherry too much.
See also: pink mist from military speech when a person blows up, because that's all that's left after a bomb explosion.
https://www.youtube.com/watch?v=7FxzfzWhtCc