Yes. Shown in message lists (please see the screenshot below - first and last messages within the list) and message view (left of subject).
If it's not working for you, please clarify: 1) account type (POP3, IMAP, EWS) and 2) exact scenario that's not working (e.g. "reply in Aqua, the indicator does not show in web mail" -- or "reply in web mail, indicator not showing in Aqua", etc.)