From experience, although I don't normally use the "off road" setting is that if the vehicle remains level after driving and parking it then there's very little wrong with the air suspension. I say this because as it's being driven there will be natural loss of pressure which will be reflated by the compressor automatically; otherwise the vehicle will steadily drop further and further.
It's very difficult to detect the suspension changing its level from the driver's seat but you might see the front appear to go down a bit (yes, go down as the chassis rotates marginally around the front axle) if you watch carefully when you start the car. Another thing you might notice as you start the engine is a slight "grumble" or growling sound which appears to come from under the floor behind the front passenger's seat. That's the compressor running.
The engine must be running, not just the ignition switched on for the air suspension to do its stuff, and no you won't see or hear anything while you add more and more loads.
The system actually works by the suspension ECU monitoring the signals from the "ride height sensors"; there's one on each end of the rear axle and then compares that value to the value set in its memory which was set when the suspension was calibrated. As those values change, the compressor is called to pressurise one side or the other to restore the values to match the calibrated values. The "off road" setting just adds a further 25 mm to the calibrated level and calls the compressor to inflate.
When set, the "off road" setting will automatically reset to normal ride height when a speed of 18 mph is reached.