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If I wanted to say "I know he loves Russia," could I say Я знаю, он любит Россию or would it have to be Я знаю, что он любит Россию?
I know that in English it is more proper to use 'that,' however I'm not sure how this works in Russian. Is it different for colloquial speech vs. proper grammar?
You're asking about an example that is somewhat atypical as far as "that"-dropping in Russian is concerned, so even though you've already picked a best answer I want to warn you against generalising from this example. The emotional tone is only here with знать, which does not normally drop the conjunction. I don't think он любит Россию is even a subordinate clause here, rather than я знаю being a parenthetical, unattached statement, which is even movable (он любит Россию, я знаю works, but you can't say *Он любит Россию, он сказал).
Now with сказать, говорить and (по)думать, the situation resembles English much more closely. Он сказал, он любит Россию and Я думал, он любит Россию are a highly colloquial, but entirely legitimate and very frequently used alternative to он сказал, что and я подумал, что. Outside of these two aspectual pairs of verbs, though, что is generally mandatory — again, if we're talking about sentences with true subordinate clauses, which the Russian version of your example isn't.
Both are gramatically correct. However, Я знаю, он любит Россию is emotional, while Я знаю, что он любит Россию is businesslike.
Of course, Россия should be capitalized.
It sounds sympathetically.
It sounds like a statement, or "Of course I know...".
