This is an excellent question.
There seems to be no way for a Mentee to find this out on the site. There's no link or info about this in the Mentee's profile that I know of.
I wonder out loud if this is an issue for GDPR compliance? Shouldn't a user know if another specific user has been assigned the role to them and so is able to see their profile, grades, read their posts, etc.? Seems like a privacy issue.
Obviously, generally speaking, there is some understanding or notification to users about this outside of Moodle, esp in cases of Parent/Child roles. However, it seems an oversight not to have a way to see this in the interface.