Put Your Head on My Shoulder - S2-E10
Other mistake: When Fry is talking to Leela (After being stitched onto Amy's body), he asks for some privacy from Amy, who puts her fingers in her ears and begins singing a song in Chinese. At one point, when it shows a close-up of Fry's head, you can barely see Amy's head, and the finger disappears and reappears near her nose, then suddenly reappears back in her ear.
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]