Was that always there and I just didn't see it? I know the two of them had a good time together, and they share a similar outlook of shoot first, ask questions later. But I didn't feel the past episodes had him actually crushing on her. Am I crazy?

You're not. They did have a similar outlook and Jesse was clearly pleased with Fi, but the significant glance while she and Mike kisses was the first real hint. (In fact, I wish they'd had that in one episode and then had Madeline's talk in another so it didn't feel so rushed.)

(Jesse and Michael coming down the rope in the bank vault was HOT)

Trufax.