The Devil's Hands Are Idle Playthings - S5-E16
Easter egg: On the last disc of the last season, go to the episode "The Devil's Hands Are Idle Playthings". With "play episode" highlighted, click the up arrow on your remote. The Devil's hands will appear. Click enter. You will hear audio of the table reading (rehearsal) of the episode.
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]