How do we know that an exoplanet is tidally locked to the parent star?
They are probably tidally locked, given some assumptions about age of the planetary system. 

There's a formula to calculate how long it'll take for an orbiting object to tidally lock, and one of the outcomes of that formula is that large objects in close orbits don't take very long to tidally lock. 

Since many of the exoplanets we've found are large objects in close orbits of old stars, tidal locking is a likely outcome.