Continuity mistake: When the everyone is singing and the Devil Robot is taking Bender down in the Lift, we can see that the back of the lift is grated in one close up shot, but in a far away shot it is a solid cube with no grate. (00:18:15)
Continuity mistake: During the Robot Devil's song, Fry and Leela are going down a slide. At the beginning and end of their verse, they are shown as being on the same slide. While they are singing, they change positions several times. (00:17:50)
Factual error: When Bender is dipped in the baptismal oil the oil level in the barrel doesn't change; which it should because of the Archimedes Principle. (00:10:20)
Answer: Yes Leela knew from early on that Fry had feelings for her. They were pretending to be a couple in 'A Flight to Remember' from season 1 and Fry tried to get on dates with Leela ever since. She just didn't show signs of the feelings maybe being mutual before some of the later episodes.
Andreas[DK]