In management studio you can see if a table is compresed by just chose properties on it. But why is it not the same for index? Something that would be nice as I see it. Anyway, we can use some code to find it out.
SELECT * FROM sys.partitions a
INNERJoin sys.indexes b ON b.object_id = a.object_id AND b.index_id = a.index_id
WHERE a.data_compression > 0