How conscious are mammals that mating leads to pregnancy and offspring?
I have trouble citing the exact source now as it's in one of my books at home, has 'sex' in the title (Sex in History), and I'm at work and can't Google that. But needless to say, the book made mention of studies of isolated, modern human tribes where it was evident that the people of the tribe had not made the connection between pro-creation and child-birth. Rather, intercourse was often tied to specific rituals that had a side effect of birth.

So there are a few things that one can extrapolate from this:


Pre-historic humans may have often not been aware that sex led to procreation
From that one can extrapolate further that no animals have this awareness either, as we are the most intellectual species on the planet


Further, the evolutionary development of sex points to this too. The ultimate cause of child-bearing is propagation, but the proximate cause of child-bearing is pleasure. Before life could be aware of the connection, there needed to be a reason to have sex, and so we would have developed in a way that encouraged pro-creation for no other reason than we liked doing it. Eventually we were bound to connect the dots, but we're oriented for this behavior regardless.