He said I love you in Ventura, the last LA show. I'm not sure if he said it at any point during the UK tour this summer but I do remember some very kind words at the Palladium in August. If he said it every show it would lose meaning somewhat.
Of course he still loves his fans. Otherwise he wouldn't go to all this trouble to do tiny venues in out of the way places. He wouldn't reach to hold hands with his finger broken. I'm not sure sometimes what people expect of him. To show up at their house with a thank you cake and flowers? (If that sounds snarky it isn't exactly directed at you Morrizsey... you asked a legitimate question. Just saying....)