I have Western digital external drives plugged into the hub only. How can I check to see if they sleep.
Sleep your mac and listen to the hard drive. It should make spin down noises and then go to silent.
When you wake your Mac, the hard drive will spin up and you should be able hear that.
As to your original question, there is a small safety risk and it all depends on the quality of the USB hub and the items plugged into it 24/7.
We Mac users are used to having high quality products that hide the fact electricity is dangerous because they have built-in monitoring and kill switches if a USB port draws too much power e.g. due to a fault.
As an example, I had (what I thought) was a high quality mechanical keyboard with an embedded USB hub. I always leave my Mac on and I came home one day to the smell of burning plastic and saw the the keyboard (plastic) had melted around the USB hub.
Luckily, the Mac had killed the power to the USB port and had a warning on the screen telling me that's what it had done.
Something like this has only ever happened to me once, but it can happen.