I know that my carrier's network (AT&T's GSM network) does show an alert when I make a call to a number that is in turn forwarding to another number. But, according to AT&T, that is a GSM network feature, alerting you that your call has been successfully forwarded to the final number in the calling path.
I have never had an iPhone (3G, 3Gs, now 4) that has alerted me when I am receiving a call from a forwarded number. Many of my family and friends, like me, use Google voice for their phone numbers, and a call made using google voice is inherently a forwarded call (since it passes through Google's server/switch to make the final connection) and those have never shown up as anything but perfectly normal incoming calls on any of my iPhones.
I know on Android phones, the kind of alert you are asking about (i.e. when receiving a call from a forwarded number, sometimes called a diverted call alert) is acheived through 3rd party apps or modifications to the base Android installation by the phone's manufacturer.