This is one of these "known but not actually said outright" things. The nearest I can think of is the scene where Wilson and Pike go to a shoe shop and the storekeeper automatically assumes they are father and son - and both Wilson and Pike make the same face twitch. There's also an early episode where Mainwaring asks Wilson why Pike calls him "Uncle Arthur" and the reply is that it was better than what Pike originally called him, which was "Daddy".