Should my dormer flashing look like this?
Should my dormer flashing look like this?

NO, at the very least it is an indicator of shoddy craftsmanship. At worst, it may indicate that no angled flashing was installed below the shingles and roof paper.

Is this something I should be concerned about?

You said there have been no leaks; so while you should have some concern, it should be tempered by the fact that it is not leaking (...yet)

How do I address something like this?

The proper way (if you are comfortable with roofing repair) would be to carefully remove the ugly flashing and each section of tab shingle adjacent to it, from the bottom of that lame old flashing all the way to the top under the dormer eave. Then properly install angled flashing or Z/angled flashing combination along that run. Then replace the shingles.
OR, hire a reputable roofing contractor to do that for you. The bonus with a contractor should be that he/she will guarantee the work to some extent.