Zandronum

Is there a way to check that Missile from player was hitten?
(I want print HUD effects on hit)

Well, if you mean how to check if the missile shot by player hit its target, there are states XDeath which triggers when projectile hits a bleeding actor, and state Crash which activates on hitting a non-bleeding actor (+NOBLOOD). You can then use these states to activate ACS.

I did this in Super Skulltag by giving the projectiles a unique DamageType and then making custom pain states in the player actor which call ACS_ExecuteAlways.


Edit:
Nevermind I guess you meant something different.

As defined on ZDoom Wiki's page about Projectiles:

Collision - State entered

Wall - Death
Bleeding actor - XDeath
Non-bleeding actor - Crash

These are what RGA2 coop use to give the player 'hit' crosshairs.
For bullet, melee and other assorted puff type attacks, see the related page on ZDoom.