User blog comment:B214/Question and Answers 2/@comment-4547267-20140427161058/@comment-16281343-20140427190306

"“I hear that you are dating Rias-senpai huh!” —! S-So it’s thaaaaat! C-Certainly, I haven’t told him about that! Saji continues to speak while making a big sigh. “……You know there was a monster crisis we had a while ago? You know how you showed up then? You kissed Rias-senpai as if you two were lovers just before fighting the leader of the Hero-faction, Cao Cao, remember? Seeing that, I was really shocked. So when I asked Kaichou—” [Yes, both of them have been lovers since the school festival. ……Saji, you didn’t know about this?]"

That conversation is on Volume 14, but he probably knew Issei dating Rias the Underworld incident in Volume 11.