Continuity mistake: When Bender is a "female" and is putting stuff in his locker, in one angle you can see a yellow item next to his pink handbag. Then in the wider angle, this item is gray.
Continuity mistake: Right at the end, Bender is smoking a cigar and says something like "Emotions should be hated." In the very next shot when he has stood up, the cigar has vanished from his hand and there isn't anywhere he would have put it down.
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]