Technically, you have a nationwide plan, so there is no roaming, thereforee, no indicator. I have heard of people going to Canada and getting hit with tons of Intl charges (3k) but I don't think that there was an Icon indicating roaming for them either. They assumed that because they could make calls that everything is ok.
Call me paranoid, but going to another country and trying to make calls without checking on the stipulations first is not very bright.
All you have to do is call AT&T. AT&T will put a code on your account that makes your phone display "OFF NETWORK" (beside the signal strength). That message will be displayed during international roaming or domestic roaming if not on AT&T or a carrier AT&T has a roaming agreement with...Mark