Spanish Fry - S5-E12
Trivia: When Lrr and Nd-Nd are dining at the park, trying to get in "the mood", Lrr gets very agitated at his wife. He jumps up and screams to her "One of these days, Nd-Nd, bang. Zoom. Straight to the third moon of Omicron Persei 8." This is a spin-off from the 50s TV show The Honeymooners, in which one of the characters says almost the exact same thing to his wife, Alice.
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]