Oh, okay. Thanks! I guess I was getting confused with my other cameras (that do show exposure change)
It could also be the lenses that you're using. A "preset" lens (which most SLR lenses are these days) won't stop down to the selected aperture until you click the shutter. This allows the viewfinder to maintain the full brightness of which the lens is capable. But on some older or cheaper lenses, the aperture will change as soon as it's set, so smaller apertures will make the scene look dimmer.
The camera should show you Exposure Simulation in Live View mode. Check the Camera menu.