Leon at least discovers that Priss is one of the Knight Sabers midway through Crisis, but it's never implied that she knew of this. Furthermore, there's nothing to suggest that he knew Nene was a member nor that he had even met Linna (unless I missed something).
Which is why the ending strikes me as really odd. Obviously he knew Nene because he worked with her, but wouldn't it then seem like a hell of a coincidence that she was hanging around with Priss?
