Stupid question, but I've gone back to vanilla levelling (from long term use of GCD) and am not getting a level up icon when its time level up. Did MW ever have one or am I thinking of Oblivion?

No, there's no level-up icon in Morrowind, You have to look it up on you charcater's stats tab.

Though once you're ready to level up every time you gain a skill (major, minor, or miscellaneous) you get a popup telling you you're ready to level up

When you've earned a level, you get a popup message telling you to rest and meditate on what you've learned.