Am I supposed to see a warning when using an artifact that was relocated using maven relocations (https://docs.gradle.org/current/userguide/publishing_maven.html#publishing_maven:relocation)? IntelliJ doesn't seem to show anything, neither Gradle. Am I missing something here?

I didn't think you should get any warning, why should you? If anything, then you should probably automatically get artifacts from the new coordinates I'd guess. But I don't know whether Gradle handles relocating in any way actually.

I model this as a “deprecation” for coordinates, I don’t want to keep the redirect forever

Yeah, I've read up on it in the Maven docs, so a warning would probably make sense and be the intention of the feature. I somehow thought I'd the latest version of the requested coordinates is a redirect but you request a newer version the redirect would also simply work, but that would probably be but a good idea.