A Bicyclops Built for Two - S2-E13
Trivia: When Leela is talking to Alkazar, in the morning after breakfast, he says "please, call me Al." A nod to Al Bundy from "Married With Children." Katey Sagal (the voice of Leela), played Peggy Bundy, the wife of Al. Later, they have Al sitting on a couch, and Leela having her hair done up, like in "Married With Children."
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]