How can I see if an e-mail is signed in "Mail" (using an Exchange account)?
It was most likely a bug. I had the same behaviour and after the latest update (10.10.2) Mail is showing the information again.



Edit

As commented by user2216335 the Security information is not always shown.

Apple Mail was able to recognise the signature from my example:

Content-Type: application/pkcs7-signature; name=smime.p7s;
smime-type=signed-data Content-Transfer-Encoding: base64
Content-Disposition: attachment; filename="smime.p7s"
Content-Description: S/MIME Cryptographic Signature


but not from a message sent by Apple Mail

Content-Disposition: attachment; filename="smime.p7s"
Content-Type: application/pkcs7-signature; name="smime.p7s"
Content-Transfer-Encoding: base64