Revealing mistake: When Fry starts his speech with "I, Fry", the podium is casting a shadow underneath him, but he isn't. (00:13:50)
Revealing mistake: When someone suggests crying as a way to get the emperor out of Fry's body, he says 'that's a great idea', the emperor's face stays still on Fry's stomach, instead of moving in sync with Fry's body. (00:15:50)
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]