If he/she set my Apple ID on his/her phone then how can I understand it?Not SMS but contact is a yes. Also some photos, some calendar events, some device lists. If you use iWorks suite, then your documents, presentation, spreadsheet. Quite a lot.
It depends on how it it setup.If he/she set my Apple ID on his/her phone then how can I understand it?
My iPhone never show me any warning?It depends on how it it setup.
If he/she uses your Apple ID in iTunes Store and App Store, he/she will only be able to see your app purchases and media purchases, and view them. Nothing more than that.
If he/she uses your Apple ID to setup iCloud, then he/she will be able to see almost anything under your Apple ID, such as SMS, contact list, and everything I have mentioned in previous reply.
Did you turn on two factor identification?My iPhone never show me any warning?
Yup. When you only have password as the way to access your account, your phone won't receive any warning. You will get an email from Apple saying "your Apple ID is being used in a new device" though.My iPhone never show me any warning?