Sei may be oblivious, but she's certainly not stupid. Ever since she discovered what she calls her 1.5 curse – meaning that all potions she makes are 1.5 times more effective than they ought to be – she's had a sneaking suspicion that she might be the Saint. And she's not the only one; her boss at the Research lab, Johann, has been thinking that ever since he realized that she had ludicrous amounts of magic power, and when she healed Albert and proved to be a way-too-quick study with the enchantments, he's pretty well convinced. There's just one problem: Prince Kyle has been trumpeting far and wide that Aira, the younger summoned woman, is the Saint.
We happily haven't seen Prince Asshole since episode one, and this week drives home the fact that we the viewers aren't the only people who find him…abrasive. When Sei goes to deliver potions to the Second Order of Knights, with whom she's become close thanks to her healing them and Albert's crush on her, they mention a joint mission with the Third Order, causing Sei to ask about the First Order. The guys immediately grimace, and when Sei asks why, they inform her that the First Order is working with Kyle and his school buddies on a mission that's clearly just a sop to Kyle's outsize ego – they're going to “train” in a section of forest that's more like a state park than a monster-infested danger zone. The knights' tone of voice says it all: Kyle is all talk and style, with zero substance to back any of that up, and his treatment of Aira as the unquestioned Saint isn't sitting well with everyone. In part that's probably because no one likes him, but the Second Order has just as much reason as Sei and Johann to suspect that Sei is the actual Saint, and they're not pleased with how Kyle treated her when she first arrived in Salutania.
It's probably important to remember, though, that Aira really hasn't been demonstrated to be at fault for going along with him. We can't say that for certain based on the information in the episodes thus far, but the implication is that she'd have no way of knowing that she isn't what Kyle keeps telling her she is. She certainly hasn't been interacting with Sei, and chances are that Prince Asshole is keeping her fairly isolated from the rest of the world, and with Johann keeping his suspicions about Sei to himself, she'd have no cause for doubt. Plus as the teenage girl summoned to another world, we can assume that she's willing to accept herself as the Chosen One based simply on the pop culture that she would have at least brushed past in Japan, because from that perspective, she isthe heroine.
Sei's aware, however, that her time undercover (as it were) isn't destined to last. Even if Johann didn't give her grief for making too many too-effective potions (which also may be code for him trying to retrain her thinking about overworking herself), her run-in with the king in the library tells her that something's up. Not only is it the first time she's seen him there, but he's also awfully deferential, something that makes her uncomfortable both because he's the king, but also because him popping by specifically to meet her suggests that something's up. It also may not be lost on her that he hands her a book that will help her to learn holy-affinity magic, because when you put everything together, it all adds up to looking like he has an idea that she's not just a very good potion maker.
Ultimately, however, it's Sei's own sense of wanting to help that outs her to the world at large. The “friend” she talked about meeting over at the Third Order's HQ may have been the donkey, but she's definitely friends with Wolff and some of the other knights as well, and learning that Wolff lost a hand and, in the context of a feudal kingdom, has lost his livelihood along with it, hits her hard. She simply can't stand by and do nothing, and that, just as much as her amazing reserves of magic, marks her out as the true Saint. It was only a matter of time until she was discovered anyway – at least in revealing herself to the Second and Third Orders (at least one of whom was already pretty sure) she's done so on her own terms.