If your WinCC Flexible is recent (i.e. 2008 + SP1), then it has become very easy.
You have now access to certain System events, including if the online connection is etablished or is disconnected.
In WinCC Flexible go to Options .. Settings .. Workbench .. Project View Settings, then select Display all items.
You can then go to the project tree under Alarm Management .. System Events and find the events no 140000 Connection Established and 140001 Connection Disconnected. Add event actions to set an internal tag "Online_OK" to 1 and 0 for example.
With the "online_OK" tag, program for example an indicator with green for online OK, and red for not OK for example.
Prior to 2008 + SP1 there were some more cumbersome methods. You dont want to use these if you can avoid it.
edit:
Btw, why dont you use ethernet with the panel ?
Both PLC and Panel have ethernet, so that is what I would do if I were you.