I thought you used to, in the text when selecting the action you want to perform. Not sure if it was their for every infil option but I certainly recall that some of them used to warn you about elevated threat levels due to police work.
Perhaps ensuring this message is presented for every appropriate infiltrator action would help players make informed choices? Maybe have risk level appended to each action link infiltrators click on to perform an infil action?
Or maybe remove the option from all infil action pages and add a new infil action: "Perform Risk Assessment..." that causes the infiltrator character to try and outline, in detail, what he thinks the odds of success for various actions. The accuracy of this report might even be influenced by his infiltration skill, though I would not want to have it be too bad out of the box as this skill would be meant to help inexperienced infils who are unlikely to have his infiltration skills. Of course, if such an action is already present, ignore this!
