Did some testing,
you see your player getting damage when damaged by:
Mobs, fire, drowning, poison, wither ect.
But you can't see it when you get:
falling damage or get hit by another player.
Prove from pvp: http://tinypic.com/player.php?v=2v7xzpi%3E&s=8#.Vc3FLrKqpBc
Prove for falling damage: http://tinypic.com/player.php?v=10hoyt5%3E&s=8#.Vc3Gn7KqpBc
For the falling damage replay, I ate a notch apple before I jumped. Wanted to prove I was in survival.