i assume you are talking about turn-based chess? just as in OTB, the opponent isn't required to notify of check at all. :)
'Check' notification

Yes I was =) I guess they're not required to do so, but if both players want it why not give an option?
I was just playing with a friend and he (the "check-or") asked me if it told me anywhere and I realized it didn't and was really surprised.
Out of curiosity, why wouldn't the "Check-or" want you to know?

I had a similar thing happen to me! I was playing live, and I was in check, but had NO idea. I was trying to move a pawn, but it wouldn't go! So, I figured the pawn was just mad at me or something, and I tried to move a different one. Same thing! Then I went to a knight, but then I was wondering if I was even moving it correctly (they make funny moves) since it wouldn't go, either. So, I finally moved my King, since it was the only piece I could move. Then...
I lost on time.

There is a notification, On the moves list, the move will be followed by a "+" that means check. for instance "24. Qb5+"

Yes I was =) I guess they're not required to do so, but if both players want it why not give an option?
I was just playing with a friend and he (the "check-or") asked me if it told me anywhere and I realized it didn't and was really surprised.
Out of curiosity, why wouldn't the "Check-or" want you to know?
it isn't necessarily that he wouldn't want you to know, it's mostly in place for live tournaments. some of the bigger ones have a couple thousand people playing. if everyone said, "CHECK!" each time they checked their opponent, the place might be quite noisy. :D

In Live Chess, the sound effects are different for a) piece moves, b) captures, and ... c) checks. So, in a way, checks are 'announced' by this special sound effect.
It'd be nice if in the 'settings' there was something that you could select that would notify you if you wanted to know if you were being checked or not. You could be in check, and there's no way to know until you see the checking piece. I've never seen a chess game that didn't tell you if you were in check.