I often would like to see which playlists I've added a song to, but this does not seem to be possible to do in one place.
iTunes handles this by providing a cascading item in the context menu for a song which lists the playlists it appears on.
This is a bit cumbersome, but would do the trick.
Another possible solution would be showing a tiny unobtrusive dot next to each playlist a song belongs to when the song is highlighted.
Thanks for a great product!