Does Shirou ever learn about Illyasviel being Kiritsugu's daughter? Does it ever get explored in any of the materials? Does he ever find out?  It seems like she knows about him.
In the Heaven's Feel route, yes, as she says she is in the True End:


   After Shirou kills Kotomine and is about to sacrifice himself to stop the Greater Grail, Ilya appears wearing the Dress of Heaven planning to shut it down herself. Here she tells Shirou that it's her duty as his older sister to protect him.


In the Unlimited Blade Works route, however, she doesn't


   as when Shirou and Rin go to recruit her to help fight Caster, Gilgamesh has already arrived before them, defeated Berserker, and ripped out Ilya's heart, killing her.


I am unsure about the Fate Route; to my recollection, Shirou doesn't find out (am currently replaying) and I have yet to play Fate/Hollow Ataraxia. However, because it also has hints of all the Fate/Stay Night routes in it, I would assume the knowledge of Ilya and Shirou being adopted siblings is assumed.


   Of course, Ilya won't admit this to Shirou anyway in Fate/Hollow Ataraxia as the Shirou in it is not actually Shirou but Avenger assuming Shirou's form and Ilya seems to be aware of the False Grail War.