Is there any indication given to the user when Spybot blocks an address as the result of a match being found in the immunisation entries in the Hosts file, and if so what form does the indication take?
No ;)
The whole "immunization" is more or less defined as filling software specific blacklists (software being Windows, Internet Explorer, Opera, Firefox, ...) to be able to block even if Spybot is not running.
The Hosts file is completely handled by Windows itself, and the block, well, is kind of a trick; it is not a block, it's an address resolution that leads to a non-existing server. To any software accessing the Internet, it's completely transparent, meaning that software has absolutely no idea if the IP address received as being behind a domain was gathered through standard DNS services or the local hosts file.