I feel like the series makes him out to be more dense here than is merited. He seems about normal on the perceptiveness front? Within a single standard deviation at any rate.
Like, she wasn't dropping hints everywhere like in a typical romcom gag plot or anything. Some dramatic-admissions-under-her-breath notwithstanding, she'd mostly just been a good friend, and acting like one. And I know I wouldn't just assume any longtime friend had a crush on me without a lot of evidence. That would just get awkward.