I have not seen on diode datasheets where it says "pin 1 should be the
cathode, pin 2 should be the anode"
It is because you are looking in the wrong place. The datasheets define the pin function of the specific part. The orientation (called "zero orientation") of the pins in the footprint is defined by IPC-7351 (IPC-7351B). Specifically in your case:
SOD Diodes – Pin 1 (Cathode) on Left
Aluminum Electrolytic Capacitors – Pin 1 (Positive) on Left
The above applies both to SMD components and Through-hole axial and radial packages. Moreover, it also applies to non-polarized components (resistors, inductors), as far as land pattern numbering is concerned. Maybe it does not make much sense, but it does bring a bit of an order into the CAD chaos.
How do PCB manufacturers know how to orient the part on the PCB?
When you send your files to manufacturing house you usually include component positioning file, which specifies component coordinates and rotation relative to zero orientation. So, if your footprints conform to IPC-7351 standard then manufacturers know exactly how to orient the part on the PCB. If still in doubt they can also consult silkscreen markings, which coincidentally defined by the same standard.