Yeah that is there, but if it is checking quickly, then you see no activity there.
I have found that if you go to the Menu: Window>Activity...It will pull up a separate window that shows all account activity going on. If you leave the window open when you close the Mail app, upon restart it will come back. So at this point an alternate way to see that something is actually happening.
Here is a shot of the window as it is checking one of my accounts.