There was a little girl with amazing waist length red hair and long, long legs that attended elementary school with my son. ALL the boys were crazy about her. She was a truly beautiful girl. They vied for her attention and to sit with her at lunch...they all wanted to be her boyfriend.
They were in 2nd grade.
So, yes, children this young do develop crushes. My son, at 14, has truly had feelings for a girl (not the red haired one LOL) he met in elementary school. He is waiting (his words) until he is older to ask her out. In the meantime he found her on FB and they chat and text occasionally.
I would just watch and observe and have casual conversations about friendship and appropriate behavior. The suggestion to widen the circle of children who play together is a good one - maybe ask the boy (or his Mom) if he has any guy friends that could be included to have a better balance. Since he is respectful and listens to you maybe ask him to help you out in the kitchen, or something, so you can spend some one on one time with him and get a better feeling for his feelings. Talk to his Mom and let her know that you are sometimes uncomfortable with his attention towards your daughters - she maybe needs to have similar conversations with her son.
And if this continues to make you uncomfortable then cut back on the time he can spend at your house.
But, just remember, whatever his feelings are, they are are true feelings - children feel just as deeply as we do.
Good Luck and God Bless