Photoshop :: Identifying Clipped Areas

What I want to be able to check is the areas of clipping in the shadows and highlights. Now I know Lightroom is very easy in the histogram, having a little warning button that will display when an area is off. What I've come up with so far for Photoshop is that there are only two tools, in the camera raw and in levels. Camera Raw is pretty self-explanitory, but I want to be able to check this in photoshop after I've done some work on the image. So I see that the levels tool you can click and hold on the triangle, and if you press the "Alt" key it will show you what areas are clipped. I'm not sure if I really understand it though, as it shows areas that aren't really clipped, e.g. a slightly darker area of sky is showing as light blue, but not a solid color, as being clipped. What is that?
 
I think that from the example above that say the reason the sky is showing a little cyan is that the red channel is being clipped in the dark sky only, and not the other channels. Do I need to be concerned about this for a good quality print? For best display on the web?