Long lifespan =/= immortal. Though it isn't unreasonable for him to not know his exact lifespan it is clear from his dialog and actions that he had never given any though to the concept he only had a limited lifespan.

Kuja knew Zidane was created to replace him, but never sought to fully understand why. Nor did he ever give serious thought to his own limits. Though he may have been highly adept at manipulating others knowing your own limits and capabilities is an important part of how intelligent you are.