Dimitri tried to do it 3 times (on Tasha, in Opera and when Anya asked him why he didn't take the reward), but each of them he failed. And same with Anya, she tried 2 times (before Dimitri entered the room in Opera to talk to Marie, and when she got know about his scam as he was removed from the lodge in Opera), and also failed. So, no they never told each other "I love you".
near the very end, Anastasia asks why he didn't leave and he went to say I Love u but she went to go kiss him but Pooka interrupted them.. so in a sense they never did