>>4004383They kind of did, the show just doesn't go out of it's way to tell you. Roger doesn't feel the need to confess his feelings for dorothy because he feels it's very un-gentleman like of him to do so, dorothy likes roger but doesn't want to say it outright cause she doesn't want to show any signs of weakness to roger so she can keep annoying him. Both instead show their affection through other means usually through gift giving, compliments or body language. The only real clear indication is when dorothy says she loves roger before almost squeezing him to death and roger confesses his love her after her memory is ripped out.
