That early-season confession was very interesting to me too. He says something about "You don't need me now; you have Sheridan." and I remember thinking at the time that that statement was very telling - he considered his place in Delenn's heart to be similar to John's. It seemed to me that he thought Sheridan had taken his place as Delenn's mate or something.

I really agree that Delenn made things worst with her "Oh it was nothing" thing. Saying to him: "Look, you know I love John, right?" might have seemed meaner, but would have been kinder in the end.