This is during the thing where Penumbra, Flurry, and Crystal are finding Amore’s Shattered pieces to bring her back. Eventually, they find out that only an alicorn descendant of Amore can pass her seal, if they prove themselves worthy.  
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Penumbra grabbed Flurry’s hoof, and took her aside as Crystal looked for a way out.
 
“Penumbra, What are you-“ She stopped once she noticed how he was blushing. She looked down at her hoof in his grasp, and blushed too.
 
“Flurry, I need to tell you something. You could get hurt.”
 
“I know, but if we don’t bring her back, the Empire could be lost to the frozen North.”
 
He sighed and took a deep breath. “Before you go, I- I want to tell you, that…”
 
Flurry waited eagerly for the news.
 
“I love you.”