She has implied she loved Damon

"I didn't let love get in the way", she said this to Damon.

She also said this in front of Damon

"Its okay to love them both. I know I did"

But she's never told him "I love you". Not that we've seen anyway. As for Katherine and Elijah, I think that perhaps, Katherine had finally had enough of a lifetime of running, hiding, never letting anyone in. So she saw opportunity in Elijah. Opportunity to save her own ass from Klaus, and opportunity to start a new life with Elijah. I think she wanted a clean break. Although I doubt Katherine was head over heels over Elijah, i do believe she may have wanted someone to trust. Elijah was the perfect candidate. Not only is he powerful, he's also honourable, therefore the threat of betrayal is lessened. The sad part about Kalijah is that she had to be someone that died five centuries ago. Katerina is dead, and Kat had to play this role. She was going to lose him eventually because he'd have figured out that Katherine is now a ruthless monster. He was holding a torch for a ghost.

Damon looooves Evil Katherine, period. He really couldn't be bothered who Katherine screws over, as long as its not him. Unfortunately its always him.