Knows
He looked like he was stupid, and he would often seem like a fool, but if you look closely enough, you would see it was all an act. Sokka was a very smart boy, even if it was hidden. This doesn't mean that he wanted to know about the not-so-hidden glances that Zuko gave Katara every time she walked into the room. He did, however, enjoy seeing Katara glare back.
Though, he thought he might have to poke his eyes out when he saw Katara give Zuko one of her famous looks of pity. Of course, this was rare, and only when she knew he wasn't looking, but it still happened, and that's what mattered. He thought this protectiveness wasn't odd, but was usually covered up by how he always picked on her, and poked fun at her ideas. She would always make fun of him and call him names, too. It was how their relationship worked, but underneath it all, he would always defend her against anything he needed to, and that thing was Zuko.
It's not that Sokka hated Zuko, but he still didn't fully trust him. He could, sort of, see him and Zuko becoming friends in a few years from now, but no matter what; he was not going to lay a finger on Katara. Zuko was from the fire nation, the brutes that killed their mother, and he was the prince of them for God's sake. Sure, he believed Zuko had changed, but he could never be even close to good enough for his little sister.