Leela and the Genestalk - S7-E22
Continuity mistake: When Leela's parents call Fry on her "wrist thingie", we see it has clamps on the back that go like "up down up down" but in the middle of the sequence they change to "up down down up". (00:12:50)
Answer: Yes Leela knew from early on that Fry had feelings for her. They were pretending to be a couple in 'A Flight to Remember' from season 1 and Fry tried to get on dates with Leela ever since. She just didn't show signs of the feelings maybe being mutual before some of the later episodes.
Andreas[DK]