Learn Portuguese (Portugal): Sabemos que o comboio chega às oito.

Both verbs mean 'to know', but they are used differently. We use saber (here conjugated as sabemos) for facts, information, or knowing how to do something. Conhecer is used for being familiar with a person, place, or thing. Since knowing the train schedule is a fact, we use saber.

In English, we often say 'We know the train' without the word 'that'. Can I drop que in Portuguese?

No, you cannot. In Portuguese, the word que (that) is mandatory to connect the two parts of the sentence. You must always include it.

I have seen the word trem for train. Why use comboio here?

They mean the same thing, but comboio is the standard word used in Portugal, while trem is used in Brazil. If you are focusing on European Portuguese, you will hear and use comboio.

Why is the verb chega in the present tense if the train arrives later?

Just like in English, Portuguese often uses the present tense to talk about fixed scheduled events in the near future. It is perfectly natural to say o comboio chega (the train arrives) rather than strictly using a future tense.