I think the preposition is necessary. The analogy with case in point is not quite apt as follows: "In which city" can be replaced with "Where", hence "Where are you located?" is correct but "In where are you located?" and "Where are you located in?" aren't. Similarly, "What time is the meeting?" or "When is the meeting?" is correct, but not "At when is the meeting?"
"That we know of yet" is a formulaic response, a trope used to express a kind of hope or alarm for a future situation. It is seen in constructions that are meant to cast doubt or counter expectations about an outcome, either positive or negative. Examples:
A: There are no termites in the house we're buying.
B: That we know of yet. We'll need an inspection to make certain.
This suggests that there may be termites. B is cautioning A against overconfidence, perhaps in case they thought to save money on a termite inspection.
A: There just aren't any women in the world who are interested in a man like me.
B: That we know of yet. You might find your true love tomorrow. You never know.
Here B is trying to boost A's confidence and spread a little optimism.
I confess that when I read your example it sounded a little off to me, because the usual formula seen in my examples was not strictly observed. The statement "But math isn't something you're terribly strong in" would perhaps be better answered by a statement like "Not yet" or "I'm working on it." But when I saw the clip, it seemed perfectly natural given the character of the girl. With that single sentence, a trope slightly misused, she demonstrates that she is rough around the edges, perhaps poor at math, but resolved to use all the strength she has to rectify the situation in order to get what she wants, possibly in defiance of everyone's expectations of her. It is this slightly off-key usage that paints an emotional picture of a charmingly overmatched but determined girl that the audience will relate to.
This is the sort of contextual usage you can't really learn unless you are very deeply immersed in a language, enough so to pick up the invisible radio waves of cultural connotation. And even if you're a native speaker, you may be falling prey to the notion that language has to make a kind of mathematical sense all the time.
Language is not perfect. But it does continually amaze with all the things it can convey on top of its literal denotations.
Best Answer
It is correct. The first "of" means "about", or "regarding". "That of which we speak" is a noun phrase. It could be replaced by any noun. Imagine you replaced "that of which we speak" with the word "mountains" or "philosophy". It still works, so it's correct.