Issue added here: http://code.google.com/p/ardupilot-mega/issues/detail?id=806
Currently there is no indication of APM going into failsafe, so if it happens you will have no warning that it has happened except perhaps for an uncommanded mode change.
Please star the issue if you support this request.
I hope this will be incorporated soon, I've had the odd failsafe occurance recently but the only way I've been actually been aware of them is the Mission Planner's voice announcing "circle" which is the 1 sec default failsafe behaviour.
So there is a type of failsafe alert already which is the uncommanded change in mode but it would be much better, I think, if it could be announced as "failsafe" and have something flash red on the HUD (or somewhere on the MP)?