I thought they knew because of Junk/ko, and the fact that Momoko seems to have noticed it.
Comparing the line “Come see me tonight. After you win your Shogi match, I’d like to see you. Please?” versus “Please see me tonight. After you win your Shogi match, I mean. Even if this feeling is one-sided, I must voice it. Please?” The latter being if you are attracted to men.
I think that’s because of that line MC says to Momoko regarding Kabuki guy that she knows.
BUT maybe also because MC doesn’t react or barely reacts to Momoko’s figure and advances. Though, I cannot speak for a straight and stoic male MC, since I’ve never played as one 
Toshio’s stoic too and I’ve never seen him interested in Momoko. His orientation is not really clear though.
Jun/ko might be a give away, but there are more sexual orientations than gay and straight. Even if it’s not in the game.
That doesn’t seem to be good 
.
Edit: @MultipleChoice I was replaying the first game and noticed something I didn’t before, do the 4 spirit animal you find in the spirit realm belong to each of our companion? I know the red panda and the swan are the spirit animal of Masami and Toshie, so the pony and the doe belong to Momoko and Hatch? If they do, who is the pony and who is the doe?
I think Momoko is the doe. But only because i think remember her eyes being described as doe eyes. Hatch is a sturdy pony, ready to carry his friends wherever.
Might be, but the doe keeps looking at the pony when he is not looking, it’s seems like Hatch looking at Momoko.
Yep I think Momoko is the Doe and Hatch is the pony although he tends to act like a Mule 
I agree with @Beaterxys and @avidreader on this one!
I see, but what does this part means?
“The doe. A sika deer with a coat of white dots. It picked at the pony’s mane, though only when he wasn’t looking.”
Could be an attraction to hatch. She couldve liked hatch but in seeing the MC’s actions, over time she began to love him more than hatch. (Possibility) Dont know if that was what @MultipleChoice meant to convey
Or it could be the reference to the fact Hatch cut his hair (if you equate mane to hair). Remember when he did it because Momoko likes men with short hair.
And yeah, I realize what I said is a bit of a stretch.
Of course, @Beaterxys bit is also spot on.
I really want to know if we can romance him/her at all
Yeah there’s a lot of debate there mostly surrounding their age. On one hand you call them kid and other things are written to suggest they are quite young but that could just be them looking younger than they are. Plus we could be calling them kid more in reference to their maturity and there being an age gap. I mean we can say they’re our lover to the guard and while he does mention the age gap he doesn’t react in the way you would expect if he/she were too young.
But the biggest piece of evidence for them being romanceable is that they change Gender depending on your sexuality. Seems like an odd thing to spend time coding for if you’re not going to make them romanceable.
My moneys on them appearing to be about 15 when they’re actually 18-19 (I’ve met people like that). Then the MC is in their late twenties. The MC keeps calling them kid and Masami gets so annoyed they scream their real age, the room gets all quiet and they ask the ronin to please stop calling them kid. The ronin continues to just stand there dumbfounded and of course gets called baka. Ah romance.
I’ve been pondering who the MC’s first kill may have been - it seems it was probably their Sensei but I’m entertaining the what-if notion that they may have killed someone before and that might have precipitated their sword training.
The MC’s past and origin are a curious mystery, I wonder what their relationship with Junko started like if the two knew each other since childhood or early adolescence.
The first kills of the MC were the kids at the orphanage he lived.
Damn! I didn’t realize our MC was Anakin Skywalker!
Damn, that’s really dark. Where dos it say that?
It’s the memory the MC want to forget.
[details=Summary]The kids at the orphanage. How long had it been since those faces came to mind? Huge heads with blank stares, atop bodies with ribs showing and limbs the size of several chopsticks bundled together. Hunched over with only energy enough to eat their next meal. If they had one.
“I did them a favor. I did them a favor.”[/details]
Man imagine a SOH prequel. That’d be some dark stuff. I’m so glad our little ronins found Masami.
So that was actually implying he/she killed them?
Yes, the favor is that they are better of dead than in their previous state. What the MC did to them still haunts him and that is why he wants to forget this memory.