Hey there! Long-time check receiver here.
First, I would like to reiterate that changing how you receive payments in the middle of waiting on payments can totally complicate getting the payment you're waiting for, but new payments will just go through the new way.
Next, they don't put anything on the envelope itself. It's a plain windowed envelope showing the parts of the check which have your name and address and their return address. The company name that they put on the check used to be Streamate. Now, it's ICF Technology. They changed that... in 2012 I think (going based on which apartment I was in when I remember noticing it, and that I was about to move out of it, it would've been around summer 2012).
As to the checks getting lost in the mail, this is going to depend on where you live, and what the mail service is like there.
I live in apartments. I've always gotten my checks on Mondays (or Tuesday when Monday was a holiday), except for a few. In December 2012, one didn't show up until Friday. My best guess is that it went to the wrong mail box, and the person who received it simply put it back in the mail. That was the only check that had any issues at that apartment. In October 2013, I moved again, and didn't set up the mail properly, so the first Monday at the new place, the check didn't arrive. That check never arrived, and a few months later the amount was added to another check, like how they do if you didn't get the minimum the previous week.
Fast forward to my current apartment. I had a mail carrier who was very sloppy. Two checks didn't arrive until Thursday this past winter. One check arrived by the hand of a neighbor on Sunday, and she said she got it a few days prior, meaning it went to the wrong mailbox twice. A fourth one went missing, and the very next week a fifth one wasn't in my mailbox on Tuesday (Mon was a holiday), and my fourth missing check was still missing. I called the post office. My phone broke the next day, but I got the fifth missing check. Fourth one was still missing. I went to the post office to tell them that my phone was broken, and had to write out my complaint again, so it might have accidentally counted twice. I did put the reference number on it. We have a new mailman now.
I feel kinda bad about that, since I was just trying to give him a warning, not get him fired. Or maybe he quit after the warning.
Anyway, before this apartment, I would've said "Don't worry about it, I've almost never had a problem with them being lost in the mail", and it would've been true. Because one was a little late, and one was legitimately lost, but the legitimately lost one was my fault, and I try to avoid situations where a check being a week late isn't going to put my finances in trouble. Now I can only say my experiences with it. Out of 5 apartments and 3 states, I've only had major issues at this one. And the only check that never arrived, Streamate eventually noticed that it was never cashed and sent the money with another paycheck.