I've flown several hundred times and I've never heard that in the announcements. Never.
Maybe some airlines do that.
I've been aware of the issue since reading that book "All Four Engines Have Gone", so I've actually been aware of the issue. Granted, most of my flights have been within Europe or with European airlines flying to and from the US and other continents.
I honestly can't remember ever hearing any briefing beyond the "look after yourself before looking after children etc" thing.
ETA: I may be wrong on this, but I tend to pay attention at the safety briefing and I honestly have never heard any caution that the oxygen masks don't give feedback that they're operational.