How to show message to user when page is in a filtered state?
In views, to remember the user entry, Views uses sessions. It uses different variables for each view. If you print the $_SESSION variable you can see that. 

function MODULENAME_form_alter(&amp;$form, &amp;$form_state, $form_id) {
  if ($form['#id'] == 'views-exposed-form-test-page'){ //your exposed form's id

      print_r($_SESSION);
   }
}


Now you can see that a structure like below

[views] =&amp;gt; Array
    (
        [test] =&amp;gt; Array
            (
                [default] =&amp;gt; Array
                    (
                        [title] =&amp;gt; Page
                    )

            )

    )


So if you check value exists for this variable,  you can perform your task

ie: 

if ($form['#id'] == 'views-exposed-form-test-page'){
//check is it exists, if so perform your task
 if($_SESSION['views']['test']['default']['title'] != ''){
    // "need to reset";
          //here using jquery or css, show or hide your message
        $script="(function ($) {
                //action to do here
        })(jQuery);";
        drupal_add_js($script,'inline');
 }
}


Hope this may helps you