I remember in season three Tony is talking to Junior and he says something like he cant understand his fascination with Kennedy. But in season one Tony gets all mad when that russian is playing with Kennedy's hat that he won in an auction.

Never really noticed that before, but I believe I recall the 2 incidents to which you're referring. Just shootin' from the hip here, but my guess is that Junior probably had a true fascination with the Kennedys due to Joe Kennedy's mob ties, etc. (something a man Junior's age would remember quite well...heck, it's conceivable he could've even done business with 'em!). Tony, on the other hand, was probably just concerned with the monetary value of the hat which that very lucious naked Russian chick put on. Tony ain't too deep, ya' know!