And I always thought it was my fault for missing audio cues.
Me too. I don't know how audio cues get queued up, but I think if there are a lot of actions there's a chance of it being completely suppressed in favor for more recent actions. You tend to hear more things towards the beginning of the game when units are just being built, which in combination with the minimap ping makes it very easy to know what your opponents are doing (2 guys on the left went T1, 1 guy went assgrens, a scharfschutze is now available, etc.).
Messages do pop up, but are rather easy to miss when there's a lot going on.