Ive had my agents assassinated (at least), and no, there is no warning announcement or signal. i think that its kind of cool. i remember thinking, "where did my assassin go...", then sending in a spy to check it out, only to find the enemy spy and assassin double team. my spy soon followed.

i think that assassins are balanced pretty well, so long as you dont quick load for a failed attempt. it does take a while to train up a good assassin, only to have them die from old age at 34.