Continuity mistake: When Leanne first arrives, she kisses Luanne, and gets red lipstick marks on her. Later, when Leanne and Luanne are near the bathroom and Leanne says "I knew you would understand" (about Bill), she kisses Luanne, but there are no marks from her lipstick. Even if she mostly kissed Luanne's neck, at least part of some of the marks should show when Luanne turns to leave (after talking to Peggy).
Continuity mistake: Hank takes Bill's sock off and the guys discover his toe fungus. While they're talking, Hank is still holding the sock. In the next shot of Bill, his sock is back on. (00:02:45 - 00:03:15)
Answer: In addition to Brian Katcher's response: it's supposed to be a joke that Dale is always suspicious about conspiracy theories, mysteries, etc, but he is "clueless" about his own wife having an affair. Of course, as Brian wrote, many fans think that Dale is pretending to be clueless because he doesn't want Nancy to leave him.