Continuity mistake: In the first episode of season 6, "Rebirth", near the end after the real Fry comes out of the Rebirth chamber, the robot Leela says that she and the robot Fry are in love she now has the real Leela's mechanical arm device on. But she never had it before or after that shot.
Continuity mistake: Season 6, episode 19 "Yo Leela Leela": When Bender discovers Leela's secret writing place, throughout the entire scene the lipstick marks on his head keep changing places, sometimes disappearing and reappearing. Most noticeable is the one on the right side of his head: it disappears when he is shown from that side, then reappears as soon as the angle changes.
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]