User blog comment:B214/Kuoh Academy students finding out that Issei stays with the ORC girls and is dating Rias./@comment-24098614-20131215011722/@comment-1359322-20131215084032

The fact that M&M never even listed Gasper as a girl in any of their conversation with Issei is kinda proving that they know. And like i said in Volume 10, the girls know he's a guy, it's impossible for guys to not know that.