Revealing mistake: In the scene near the beginning where Leela tells Fry and Bender to watch the political debate on television, both of them (Fry and Bender) fall asleep. When Leela "hops" on the couch to wake them up, Bender's arm, despite being behind Leela, can be seen through her white shirt for a few frames.
A Bicyclops Built for Two - S2-E13
Revealing mistake: At the end of the wooing near the end, you can see that Fry has four arms.
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]