Yes, you will feel when a bee, wasp or hornet stings you.
I am allergic to bee stings. Their sting uses a different poison than a hornet or a wasp.
When I get a bee sting, it "stings" (hurts a little) and about 20 minutes later, if I do nothing, breathing will become difficult. But since I know I am allergic, I do *something*... Any anti-histamine will do. If you don't know if you are allergic, consider going to an Allergist to see if you need to get through the desensitization series. No one in my family was allergic, so it does not seem hereditary. If you were, and have been stung, you would know. Not from the sting pain, but from anaphylaxis. Bees sting once, the stinger is torn from their body and they die. The stinger is barbed.
Hornets and wasps have a different, unbarbed stinger - they can sting lots of times. And their sting did not cause me any major issue except for localized pain. No allergic reaction. Again, you *will* know if they stung you...