All those notifications usually turn up in the notification bar, located at the top of the screen. On all devices. Have you checked there?
example of the Android notification bar
As you can see in this example, that's where notifications are displayed. Here you see, this user has new SMS and mail in their GMail app pending (to the left). Other notifications are indicators of available services (to the right), here telling that WiFi is active and the device connected, silent mode (no sound) is active, cell phone signal is available, battery is about 3/4 full, plus the current time.
Your "missed call" notification should also appear in the left-hand area, the symbol looking like this:
missed call icon
Often, there're also numbers associated with them. Some launchers/lockscreens even allow for more custumization.
I would wonder if none of these are available with your device. Above examples are standard, and should be always available. Numbers on the icons (indicating how many missed calls, or how many SMS are pending) are something different: some manufacturers ship them by default, others don't. But using custom launchers / custom lockscreens, many things are possible.
Trouble with your HTC First might be the launcher: if I'm right, it comes with "Facebook Home", which wants to facebook-ify everything, and thus might hide some things usually visible. I don't use facebook at all, so I'm not that familiar with this area. But if that's the culprit, according to a review at AndroidCentral, Facebook Home can be turned off. On the other hand, a bunch of screenshots in the very same review clearly show those notifications being there, though a bit colorless:
HTC First screenshots (source: AndroidCentral)
See the top of those screenshots -- and you will easily identify the GMail notification described before, here in the second and third screen :)