Continuity mistake: When Hank takes Connie to the doctors, he is in the waiting room. After Connie and the doctor come out they open the two doors and stand in front of the doors. Towards the end of the scene as the doctor is about to leave them, they have all moved far a short distance from the left of the doors.
Continuity mistake: After Connie tells Hank she is experiencing her first period, Hank consults the book that Connie's parents left for Hank. There is a close up of the folder from Hank's point of view and you see there are not many pages on each side. You can tell this as you can see the binder's covers below the papers on each side and there is not much material on either side. The next shot that shows Hank skimming through the papers each side of the folder has a lot more papers on each side than the previous shot.
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.