Circuit to know when two batteries are connected to each other
Current detection

I'm sorry to throwback to 1925 here, but it seems as simple as taking one of the power wires leading to the Cyrix and having it make several turns around a NC reed relay.  If current is flowing through the Cyrix, the reed relay picks up.   You could do the same thing with a Hall Effect. 

Voltage detection

You are looking for hundreds of millivolts of voltage difference between the two batteries.  If the Cyrix has pulled in its contactor, that difference won't be there.  

Note that it should take the samples right at the Cyrix's lugs. Anywhere else and you're also measuring the voltage drop to the Cyrix. 

My first thought is to connect the base of a transistor to one side (through a resistor), the emitter to the other side, and the collector to common B-. When there is a voltage difference B to E, current flows on the base, and you get current flow C to E, and that lights the LED. You would need one transistor per direction, which would be fine, because with two LEDs that would tell you which way charging was going.

Microcontroller

Doing this negative-ground is obvious; the microcontroller measures 2 voltages of Bat1+ and Bat2+, and compares them.  I don't like it, though -- it requires 2 voltage measurements, and if the ADC's are off, they won't compare properly.

I would prefer to do this positive ground. The device takes its power from common Battery -.  It takes one side's + as its Vss.  It makes one voltage measurement, the other side's +. This will typically be no more than 2 volts, but may be negative, so it would need to be able to cope with that. 

This way nicely removes the "voltage drop" problem from wiring between batteries and Cyrix.