Jem can't believe that the jury would convict Tom Robinson after hearing the evidence of the case. In his innocence or naivete, Jem beleives that people will act on the truth of what they know, not on the biases of what they feel (especially if those biases feelings are in themselves odd, false, or otherwise unfounded).
I think you could argue that the children still maintain some of their innocence in the end. Consider, for example, if Jem had killed Ewell instead of Boo Radley. Jem would have lost his innocence. Scout and Jem were protected, and thus were able to remain children a bit longer. Although they were confronted with the harsh reality of the world with the Robinson case, notice that the Boo Radley case ends in basically a happy ending. Boo is humanized, and saves the day.
I particularly like Scout's extreme interest in the word "rape," of which Tom has been accused. Calpurnia refuses to discuss the subject with Scout, and when Scout hears a "skinny gentleman" declare that "They c'n go loose and rape up the countryside," she heads to Atticus for the answer. Atticus "sighed" and told her matter-of-factly that "rape was the carnal knowledge of a female by force and without consent." The innocent Scout is perfectly happy with the answer--she obviouly still has no clue what it means--and moves on to other matters.
The innocence of childhood is expressed through the experiences of Scout, Jem, and Dill, with the first-person observations of Scout. Life is confusing for Scout, especially with regard to the racist attitudes of the citizens of Maycomb County. This is expressed primarily through the extreme hatred of Bob Ewell. She needs Atticus to explain things to her before they start to make sense.
when scout wants to know why Tom is arrested even though he didnt do anything wrong......and when he is found guilty she finds it very difficult to understand. also when the kids go to the church and at the begining the natives dont treat them properly they find it weird because their father treats everyone with the same respect and value.