Continuity mistake: When they are looking for the stolen atomic tiara, Fry is looking through Leela's drawers. At first the panty on top is pink. When it cuts it's blue, then pink again later in the scene. (00:14:50)
Continuity mistake: As Fry is looking for the atomic tiara he's in Leela's room. Before he goes through the drawers there are three of them, but when it cuts there are two drawers. (00:14:50)
Continuity mistake: When Bender and Flexo are fighting, Leela fires a shot at the roof and some bulbs fall down. The bulb's positions change between the shots. (00:18:25)
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]