I'm not sure if this was in Lion, but in Mail's Preferences under the General tab you can find a "Play sounds for other mail actions" checkbox. Ticking this plays a different sound if there are no new messages.
At least you get some indication that mail check has concluded.
I've been searching all over the web trying to find if anyone knows how to get those nice little wheels back - so far, no luck - hope their in there somewhere😕
They are gone for good; just another crappy change by Mountain Lion.