Continuity mistake: Hank says that when he and Peggy were 18, they were already married. But in the season one episode "Square Peg", Peggy tells Luanne that she "never even kissed" a boy until she was 20.
Continuity mistake: When Bobby is trying to convince Hank's friends to join the abstinence club, and when he asks Boomhauer he just stays silent. Bill then signs up and gets one of the cards Bobby has. As Hank starts to talk it goes to a close up of him but in the next shot Boomhauer is looking at one of the cards. Bill still had his card so where did Boomhauer get one of those cards?
Continuity mistake: As Luanne is becoming a "Born again" virgin, she yells after being dunked in the water. She yells "I'm a Virgin." and there is a shot to the left of two guys in the distance playing Frisbee look behind to their left. The shot sees them from the left meaning they were to Luanne's left. A few shots later Luanne is getting out of the lake and one of the guys who was playing Frisbee comes up to her from her right side and the other guy follows him. There wouldn't have been enough time in the scene for them to get all the way over to the right side of the field and not much reason to either.
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.