The beep is the same in TOAW3 (at least for me) he just isn't hearing it or the sound isn't being routed to whatever sound output is hooked up.
The message is the same too, in the little box under the replay window, where it shows what unit is moving (or reads, "invisible"), if the undo is used then a message appears there, something along the lines of "Your opponent used the undo button" (don't remember the exact language.)
I've found that sometimes new players use the undo button. "Oh wait, I better not do that...." Not out of any attempt to recon, but rather thinking it must be okay since the button's there. I introduced a fellow to the game, and he was happily using that button quite a bit, until one day he said, "man this guy seems really p.o'd that I'm doing that, what's up with that??" After I explained how it could be used to "recon" and that it is usually considered taboo in email, he was like "OH!" He didn't have any malice aforethought, just thought that is was normal to use it.
Someone said after all, it isn't FIDE....WHAT???? Heck no, its chess on STEROIDS :-) I don't have any problem with the occassional undo, but personally I live with any touch-move I make...I figure if I slip, its just that much more life-like (things don't always go perfectly on the battlefield)
But, the dumping to desktop on a save to me, is just annoying as all heck. Leave the message, just don't dump it to the DT. I save routinely, after an hour on FiTE I couldn't handle a power surge or whatever wiping out a move like that.
Well, Cheers!