Take Me out of the Ball Game - S3-E24
Other mistake: When Peggy strikes Bill in the head in the softball game, he gets hit on the left side of his head. Later in the scene he is using an ice bag on his head but he's icing the other side.
Take Me out of the Ball Game - S3-E24
Continuity mistake: The scene where Hank and Peggy are fighting to control the pancakes, Hank flips the first pancake. In the next shot he's moved onto the other pancakes but the 1st one is just like it was before he flipped it, despite not flipping it between shots.
Take Me out of the Ball Game - S3-E24
Continuity mistake: As Bobby slides into the girl scout's box of cookies with his bike, there is a lock box (to the right of the desk) and some cookies on the desk (to the left of the desk) and are spread apart from each other. A few shots later when you see the desk again they are now side by side.
Take Me out of the Ball Game - S3-E24
Continuity mistake: After Peggy loads the bases in the final game after a wild pitch strikes one of the women, you can see her hair is blonde. In the next shot when Mr. Strickland comes to see Hank the girl who got walked has brown hair and in a ponytail. The woman went straight to first base, plus there was not enough time between shots for a pinch runner to replace her.
Take Me out of the Ball Game - S3-E24
Factual error: Near the end of the episode, Dale Gribble saves Team Strickland by catching a home run ball, hit by Kurt Bevacqua, with his hat. This wins them the game. However, according to the MLB Rulebook, if a player catches a fly ball with their hat, the batter takes three bases, meaning the game would continue and Bevacqua would be at third base. (00:21:00)
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.