Well I just got done watching Merlin season 1 from beginning to end, and my bet is Arthur does know Merlin has magic.
In episode 3 The Mark of Nimueh, I think Arthur was shocked like everyone else when Merlin confessed to being the sorcerer that cured Gwen's father. However, Arthur I think was undecided about whether Merlin was a good sorcerer or just a good man. Merlin in this season actually does most of his magic in his and Gaius' chambers.
In episode 7 The Gates of Avalon, when Arthur is fighting bandits to 'rescue' Sophia and her father Merlin (although the camera makes it very hard to accurately tell) is standing right in front of Arthur, while casting his first tree-branch breaking spell. Arthur then comments on it 'being lucky' after the fight, although at this point he still is not quiet sure of Merlin.
Finally, in Episode 10 The Moment of Truth, the camera, from Arthur's prospective, focuses a long time on Will (with his arms at his side) and Merlin (with only one arm visible). When Will is confessing to being the sorcerer Arthur decides then and there to pretend from then on, and all references to sorcerers I think then fall into three categories 1) please just tell me. 2) For your own safety from my father, don't. 3) DO NOT tell me right now.
In Episode 11 The Labyrinth of Gedref is the first time we see Arthur telling Merlin to go flush out an animal, because he knows Merlin has magic from the previous episode.
So now I'm not so annoyed with Arthur, and can enjoy the show from his prospective rather then Merlin's.