Continuity mistake: As Hank is calling Peggy's mother to tell about the delay there is a sign above the telephones that says "TELEPHONES". When he hangs up the sign now says "TELEPHONE".
Continuity mistake: Luanne in one scene tells Hank a man asked if she would like to join the mile high club and when she tells him she is facing Hank. In the next shot she is standing in the same position but has turned around and is facing away. There was not enough time for her to move between shots.





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.