Continuity mistake: In the clip before Fry knocks Fox off the air, the one person says, "Could you repeat the last part? *pause, cut.*" When we later see it broadcast on Omicron Persi 8, it says, "Could you repeat that last, *cut*."
Continuity mistake: When the filming of the fake TV show begins, Fry says "Lights." and Bender dramatically opens his chest cabinet to display a large stage light. The camera cuts to Fry, who says "Camera one." and then the camera cuts back to Bender, whose chest is now closed again. There wasn't enough time to shut his chest between the shots and we would have heard it anyway, given the amount of noise the stage light gives off.
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]