No, that was from a different episode called Jurassic Bark when it's a flash back scene before fry is frozen.

Depends on if you think of time in a linear or circular pattern, right? Circularly (if that's a word), if Fry slept with his grandma and is his own grandpa, then he's always been his own grandpa, and therefore always lacked the delta brain wave.

If he hadn't always been his own grandpa, he wouldn't be the same exact person he is right now.

I know it doesn't make much sense, but its the only way I figured your loophole to be explained. It could be just neglect from the writers, but these are the same people who put Nibbler's shadow in the cryogenic lab scene during the pilot years earlier! So these guys usually think ahead, way ahead.