Are any warnings about this options shown while the wrong codes are being entered?
No, there is no way to tell. The reason being for this is so that thieves treat all iPhones as if they might wipe themselves after 10 tries.
Is any notification or progress bar shown while the data is being erased?
Yes, while data is being erased, the iPhone will switch into the Apple Logo with the progress bar. If Find My iPhone is enabled and you are on iOS 7+, you will not be able to use the iPhone until the owner enters his or her Apple ID and password due to activation lock.
Here's a picture of the screen I'm talking about:
Is it possible to tell whether the data were erased when the phone shows "iPhone is disabled - connect to iTunes" screen?
When an iPhone is erased due to incorrect passcode entries (iOS 7+ at least), the device will revert to the "Hello" screen and will prompt you to set it up again. Most users have Find My iPhone enabled so in order to use the device you will have to enter the owner's Apple ID and password.
Here's the activation lock interface for those of you not familiar with it: