When or in what part did Milly Ashford (the school president) admit that she has feelings for Lelouch? I have read from an anime magazine that Milly Ashford, the school president, was described as the daughter of the owner of the school which is obvious because the name is Ashford Academy. However, she was also described as the girl who always pairs up Lelouch and Shirley as couple, despite she herself having feelings for Lelouch. Is there any proof of that? I watched the R1 and R2 anime 5 years ago and I cannot remember a part that could prove it. Or am I missing something?
It has never been show if she has or ever had feelings for Lelouch. However she is very caring as demonstrated in Episode 9 - Refrain when talking to Kallen about her parents.

The Wikia does says she cares deeply for him


  Milly cares deeply about Lelouch, but realizes the need to restore her family's status by marrying a noble. She is aware of Lelouch's identity as a former prince of Britannia, since her family were close supporters of his mother, Empress Marianne. This relationship however, would lead to the family's nobility status being stripped. 


"this relationship" refers to supporting Marianne who was a commoner at birth and already looked down upon by members of the royal family (though it was more jealousy that she became a wife despite being a commoner).

I remember reading somewhere (though I don't remember where so don't hold me to it) that Milly spent time with Lelouch and Nunnally as children before Marianne's death which is why despite knowing they are royalty, she can be very forward with them, making her probably the closest person alive to them to date.