When speaking with an HTC support rep about a different issue, I mentioned the fact that the flashing yellow/green light that indicates a missed even only flashed for 5 or 10 minutes and then stops. He said he thinks this is an Android issue and agrees that it makes zero sense for it to stop flashing since that means you may miss messages/texts etc. He is going to report it as an issue and hopefully have it addressed in a future software version push.
You should have a missed call message on your lock screen and a icon in your notification bar.
TheMiz51, if you don't see it in the lock screen it should be at least in the notification bar. It should look like an arrow bouncing off of a phone.