So, what's the story behind this scene? I presume that it was one of those tricks that TV shows use to prevent spoilers, but, how did knowledge of this scene's existence come to light? Has anyone ever actually seen it? And most importantly, why wasn't it on the Gold Box!?

Sheryl Lee talked about it in an interview.  She said she had to do three murder scenes in one day... one each with Leland, BOB, and Ben.  I am not aware of this footage ever surfacing, however.  I could be wrong, but it seems likely that it hit the ashcan with much of the other extra footage.

On the gold box documentary they talk about even colour timing the scene and pretty much making it ready for a finished episode with that scene in it. Of course, it wouldn't make sense since Ben is in jail at the time, but it would at least work as cover-up. Reminds me of a few nonsensical lines from the episode 16 script:

COOPER:
[...]Ben placed that call to Laura from Ben's office the night she died.
He was the Third man outside Jacques' cabin. He took
both girls to the train car. It was his blood we found, not Ben Horne's.