Where does the "APU Auto Shutdown" message appear?
Both the "APU AUTO SHUT DOWN" and "APU EMER SHUT DOWN" appear on the lower-left section of the E/WD (the upper display of the ECAM) as amber messages.

In the procedures section of the FCOM, the title is on a white background. The introduction of that section, "FCOM Procedure Layout", explains how the title formatting corresponds to how the actual message appears.

The APU SD display will also be called. And the word "APU" will appear under "INOP SYS" once the procedure is completed.

From a CBT video on YouTube, here's what it looks like: