Where No Fan Has Gone Before - S4-E12
Continuity mistake: When the Planet Express Ship first lands on the planet, it crashes with noticeable damage. When they try to sneakily escape while the screen play is going on (before they get the parts from the Star Trek ship), the damage is repaired.
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]