It's a bit difficult to say for sure what Angel was feeling about Cordy. We can definitely see that he loved her dearly, but he didn't get much of a chance to explore the extent of those emotions as they were potentially developing into something more, and as a result neither did we. Though I would argue that the chain of events and the perfect moment of happiness that his subconscious created for himself in Awakening indicate the presence of a deeper sentiment.
Cordelia, on the other hand, stated quite clearly that she was in love with him in Tomorrow and also almost told that out loud to Angel in You're Welcome.
Regarding the scene in question, Angel asking it to Cordelia is a parallel to the earlier moment when she, without any memories, asked him that. He couldn't answer for her when she wondered about their relationship since she never clearly declared it to him. But once she got her memories back, he wished to finally know how the conversation they never had would have gone. While uncertainty about his own emotions may have had a role in this, I view his question as more of a Were you in love with me? Were we on the same page? than a lack of self-awareness on his part. Kind of like Spike asking Buffy Were you there with me? in End of Days. It's all in the viewer's interpretation, but that's my take on it. Their dynamic has at its core a big what if and it never had its time to shine, or fizzle out, so untangling its meaning can be tricky. But regardless of how one perceives the nature of their love for each other, their bond remains a truly special, powerful, and profound one.
