Do DNA supply houses maintain a watch list for dangerous oligos (Anthrax, Smallpox, etc.)?
I don't know how generally such things are followed, but in at least one contract gene synthesis provider's FAQ, they address this issue, and mention two such government-provided resources:


  Q: Does GENEWIZ have a procedure in place to address potential biosecurity 
          concerns for gene synthesis projects?
  
  GENEWIZ is fully aware of all risks and benefits associated with gene synthesis research. With the knowledge that gene synthesis technologies have the ability to enable de novo reconstruction of dangerous pathogens, GENEWIZ employs rigorous quality control policies and procedures to safeguard against abuse of the genes we synthesize. GENEWIZ actively monitors the Screening Framework Guidance for Synthetic Double-Stranded DNA Providers [link], drafted by U.S. Department of Health and Human Services (HHS), as well as the Select Agents and Toxins list put forth by the U.S. Government.