The whole point of a hellban is that the person receiving it doesn't know. Telling a troll they're banned just feeds into their behavior; they'll do whatever's necessary to circumvent the ban just to fight the site administrator and other users. A hellban subtly encourages the troll to leave voluntarily by ensuring they're ignored.
http://www.codinghorror.com/blog/2011/06/suspension-ban-or-h...