I'm on an iMac with OS X 10.11.6, the uncompressed raw file is from a Sony A7R2.
Below is a screenshot, showing the Highlights slider at -50. The highlight clipping triangle in the histogram indicates clipping, however, there are no red areas in the picture and when I hold the ⌥ key while clicking the Highlights slider, the picture goes all black (can't screenshot that).
Link to raw file with xmp file with Lightroom settings: https://www.dropbox.com/s/mrsf7sxqy087bu2/20160607-012.zip?dl=0
I don't know about the inconsistency between LR's clipping triangle and the lack of red display but if I open the ARW+XMP in Camera Raw and set the output colorspace to AdobeRGB there are two tiny areas of red indicated at 25% zoom, where the red channel is clipped or near clipped in those areas. I have indicated these on a Fit-View sized image with two color-samplers. The #2 area is not clipped when the image is zoomed larger than 25% so the clipping-red display must be dependent on screen scaling. If I set ACR's output colorspace to sRGB there are quite a few areas clipped.
I know there have been problems with the softproof display in the past and maybe that bug is in the clipping indicator logic as well. Or maybe the clipping indicator logic uses the monitor profile whereas the red-pixels-on-image display does not.
Here are the two tiny areas of clipping in ACR with AdobeRGB set although the screen-scaling needs to be 25% for them both to show red and this is the Fit view so you can't actually see the red: