There are multiple times to prove that some shenanigans were going on.
Let's dig into some of the comics: The time when he was narrating himself and he got caught, again:
The time when he invited +200 characters to his wedding.
Some of them are from other comic book universes/different studios.
And then there is this one.
He says what the other characters are supposed to say.
And I think this is one of the most obvious ones that can explain your question.
I think the characters around him would realise there is something weird going on, if he would just let them understand.
And one time, he just simply said it.
Deadpool Vol.
1 #34 by Christopher Priest
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In the recent movie, Deadpool (2016), there's a scene where Deadpool is talking to the audience and Colossus says "Who are you talking to?
There's nobody around" to which Deadpool points at the camera and says "Them, over there!"
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It happens all the time.
Sometimes, he is even fairly explicit with it:
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Ultimate Spider-Man Season 2 Episode 15 Ultimate Deadpool - Funniest Scene Deadpool breaks 4th wall, then Spidey enters his break and is confused, how that happened.
Deadpools breaks 4th wall
Spidey entered Deadpool's break and is confused how, and breaks Deadpools break. -- And the other way round Spider-Man sees Deadpool breaking the 4th wall, and is confused, because Deadpool is painting on his thoughts and
Spider-Man sees it.
2.1.
: Spidey breaks 4th wall
2.2 - Deadpool enters Spidey's break
2.3 - Spidey is confused by Deadpool's entering out of the same episode: 3.1 Spidey breaks 4th wall 3.2.
Deadpools entered Spidey's break 3.3 Spidey interacts with Deadpools's break
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In Cable & Deadpool (the story arc in issues 43-50, I don't know which one specifically), he references Spider-Man's deal with Mephisto, even though the deal itself completely re-wrote the timeline to the point where no other character (including Spidey) was aware of it:
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She-Hulk would be the only character to get what he's doing, since she has done it many times before herself.
Yes, she's also aware that she is in a comicbook.
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Don't remember the issue, but one time there was a not-in-universe recap page that took the form of a talk show, and then in the actual in-universe comic later he references the recap page and the person with him at the time (who had also been on the recap page) is confused.
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Has it ever happened (in a comic book, or TV show, or movie or anything) where Deadpool breaks the fourth wall and another character responds to it? Whether it's joining in and breaking the fourth wall with him, or being confused by his strange remarks and questioning him, or anything else?
Has another character ever observed Deadpool breaking the fourth wall?
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<marvel><deadpool>
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There are numerous examples of Deadpool breaking the Fourth Wall. These include the time that he invited 200+ characters to his wedding, some of whom were from other universes or studios. There is also an instance in the 2016 Deadpool movie where he talks directly to the audience.  The 4th wall is broken by Deadpool to the confusion of other in-universe characters many times and many examples of this are provided.
There are many instances of this, for example when Deadpool invited 200+ characters to his wedding. Yes - for example in Deadpool (2016) when he talks to the camera and then explains to Colossus that he is talking to the camera. Yes - all the time, and sometimes in a fairly explicit way. Yes, for example in Season 2 Episode 15 when Deadpool breaks the 4th wall and Spidey is confused by it. Yes, for example in Cable & Deadpool when Deadpool references a deal no other character is aware of. Yes, and the only other character to get it would be She-Hulk, who is also aware of the 4th wall. Yes, for example when Deadpool references a not-in-universe talk show and the in0universe character he is with finds the reference confusing.