I think he does, he never shows discomfort when Nikolai held his hands or when he's talking to him and he doesn't seem to actively try and distance himself from Nikolai. He also doesn't correct Dazai or seem bothered when Dazai says "you have a great friend" when Nikolai proposes the prison escape game, he even agrees with Dazai. There is also the fyolai omake though I'm not sure I'd consider that as canon, or has as much weight as the main manga. I would describe Fyodor as having a certain fondness or interest in Nikolai but currently not much more than that from what we can see.

There are likely multiple reasons why he doesn't openly reciprocate any of Nikolai's affection, such as his trust issues over the things he can't control (I think it's been pretty well established Fyodor can't control Nikolai in any way), and the fact he probably doesn't see the need for "friends" since he might not see having "friends" in his near future due to his goal that he wants to achieve.