The IRS record transcript should have an entry.

How do I navigate to that / or look at it?

Is there an input opportunity in ProConnect to show an extension was filed when the extension was not filed from ProConnect?  If so, how do I access this?

There generally shouldn't be a need to enter that an extension was filed.

Or are you trying to do something that you NEED to tell the software that, such as calculating late penalties?

Yes, I would like it to calculate penalties.  For the 2021 return I am doing, my understanding is that they will not be different as they are at maximum.  However, I am also doing a 2022 return for the same client and there will be late payment but no late filing because the client filed an extension.

Are you also doing a state return?  Various states have various requirements.  The Arizona return has a box to check to indicate an extension was filed -- I think you do that from a question on the information worksheeet, with ProSeries.  

Yes, I am also doing a North Carolina return