When an Echo device detects the wake word the light ring around the top of your device turns blue, to indicate that the device is streaming audio to the Cloud (for Echo Show and Echo Spot, you will see a blue bar or ring on the screen). When you use the wake word, the audio stream includes a fraction of a second of audio before the wake word. The audio stream closes once your question or request has been processed.
For personal devices you can enable a ‘start of request sound’ a short audible tone that plays after the wake word is recognized to indicate that the device is streaming audio. You can also enable an ’end of request sound’ that will play a short audible tone at the end of your request, to indicate that the connection has closed and the device is no longer streaming audio. This is available within the Sounds settings in the Alexa App (Settings > [Your Device Name] > Sounds).