Does Effy ever say that she loves Cook?

No, not that I can remember.

I know that she says that what she loves about him is that he is brave, and I believe that she says that she loves him like a friend - but she never says 'I tình yêu you'.

i think its just hinted at.for example in the scene when jj asks her to choose and later on the thuyền when freddie says that effy loves cook,too. but i don't think she ever told him that she loves him.
i do think though that she never loved him like she loved freddie. it was thêm a friendly tình yêu between cook and effy and especially a physical one.

but on the other hand i'm quite sure that cook loved her and cared really much about her.