1. Second Season: "Thank You Scene"
Yes, it did appear in the manga also so I will not elaborate much on this except it was even more touching to see it brought to life. Im sure all rabid fangirls and guys of ClefxUmi persuasion will agree with me. ^.^
2. Second Season: Crying out Your name
This is a rather weak claim but still touching. When all three girls first dissapear from the 'viewing' room Presea, Ferio, and Clef call out for each different Knight. Clef inccidently calls out for Umi. Nothing special here.
3. Second Season: Caldina Spots Trouble
Major Spoilers ahead but then you knew that already if you came here looking for 'proof', or did you? When Clef uses up too much of his magic and energy in keeping the castle force feild up he retires for rest in his bed. Umi, worried about him, goes into his room but is driven out. She then goes to Ascot's room where he lays passed out. After awhile Caldina comes in and talks about Clef and Ascot slyly. When Umi informs Caldina that Clef shooved her out Caldina laughs and makes a offhanded remake along the lines of "Worried about him? You sound like a love struck gal." To which Umi turns her head away. Caldina suddenly goes serious and askes her if she really likes Clef but Umi almost shamefully shakes her head and gives a false nervous laughter. "no" And then she leaves. Caldina turns and looks at Ascot but all she can really say is "poor kid."
4. Second Season: "Clef, I lo..."
And heres where we get to the final and nitty gritty. The Knights have defeated Debonair and return to see their friends for the last time. Each Knight has a mental/outloud heart to heart with those special to them. Lantis and Hikaru, of course Fuu and Ferio but surprizingly its Clef and Umi that take the 'love' scene at the end. Umi urgently busts out that she has something to tell Clef finally starting and ending with "Clef, I lov..." But Clef quickly interupts her with "Thank you...Umi." I'll leave this tender moment for your imagination... what did happen when the Knights went back to Cephiro? We can only quess if Clef allowed Umi to speak without fearing the heartbreak or the sweet surrender of those words.