Episode Two: The Series Has Landed - S1-E2
Other mistake: When the Moon Patrol officers throw Bender out of the airlock onto the moon's surface, they are exposed to hard vacuum, but they aren't wearing space suits. Throughout the episode it is established that the moon's "atmosphere" is a vacuum and protective suits are necessary - when the farmer removes his helmet he begins to asphyxiate instantly.
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]