Apple Mail doesn't show when a mail is encrypted (using S/MIME)
It is most certainly a bug that needs to be addressed in future versions of OS X.

I have the same problem and have found out the following curiosities:


When I added a rule to change the color of encrypted emails to give at least a visual indication in the list view, it worked fine, so there's really no reason not to show the lock icon.
The moment I added the rule and applied it to existing mails, both the signed and encrypted indications showed properly on the conversation
Upon restarting Apple Mail however, the signed indicator stopped working again on mails that were both signed and encrypted
Furthermore, both indicators stopped working on mails which I have sent
Based on a rough guess, about 50-60% of the encrypted mails now have the proper visual indicator, but only those I've received and not those I have sent.


All in all it's very weird, non-deterministic behavior that I can't explain other than being a bug. It persists in 10.11.5. Mails that are only signed always show properly unless they're also encrypted.

Furthermore, my iPhone seems to have no problem at all, tagging all signed and/or encrypted conversations properly.

I suggest filing a bug report with Apple (which I am about to do now).