Do the companies that use software like this have to get their employees to sign anything so they know they are being "watched"?
Not really. There's a big difference between monitoring where someone goes on the internet, what someones says on the internet, and what someone says privately on the internet.
They cannot record/monitor private communications. Let's say you use gmail & google chat on your work computer, they can tell you were on gmail.com for 2 hours, that's fine, but they cannot legally monitor what you were saying.
Let say you post to technibble at work, and anything you say publicly on the forum they can view, as you made it a public communication when you posted it.
They can record and store messages from the email domain they own; as anyone using the system is speaking on behalf of the company.
Keep in mind that's a very basic overview, there are often numerous factors to consider for each specif company. For example, when I set up web filtering for a newspaper company, I had to route the entire editorial subnet around the filters, you cannot legally filter a journalists internet connection.
