No he wasn't dense… He was miss lead. Pyrrha, Yang, Ruby, and just about everyone else, (all girls by the way,) encouraged him to gun for Weiss ignoring the fact that Weiss didn't feel the same way about him. The only person who is to blame for Jaune not realizing how Pyrrha felt is herself for not being assertive. And he figured it out at the end, when he was done with Weiss. So scratch that. We can blame Ozpin for being an inept leader who cost tens of thousands of lives. Hell he's so useless that he couldn't even choose the right person to act as his replacement. He should have chosen Jaune instead of a aura less farm hand.