There currently isn't a pop up from the agent - the icon turns red just like you mentioned. Sometimes Windows will throw up a message due to this, but in my testing it seems to only come up for about a second and disappear. If they opened the agent UI it should provide more information, and you should see any threats reported if you use the machine view within the Protect console - you can highlight one or more systems in the top pane of machine view, then click on the threats tab in the lower section to see any threats reported.
Otherwise, I would suggest submitting a feature/change request here: http://shavlik.featureidea.com
I hope that helps.