I might be mistaken, but I seem to remember there once was a visual confirmation when changing the keyboard layout in older versions of OS X. It was some kind of small grey window in the middle of the screen showing all currently available layouts (and highlighting the active one) for a few seconds after each change.
Is there a way to re-enable this in Yosemite? I am not talking about the flag symbol for the menu bar which can be switched on and off in system preferences. I prefer a very clean menu bar with as little as possible icons. I have set a keyboard shortcut for switching the layout (which is working), but I get no confirmation or information about the current layout.