Hi Luca,
I checked your auction page and it confirms the custom template hypothesis. Your auction display is rendered from a customized override of the HikaAuction view, I can see your own markup (classes like scb-bid-row, scb-bid-main, scb-bid-label, scb-bid-amount) in place of HikaAuction's default classes. Your site is on HikaAuction 6.0.3, which does contain the new note, but the note lives in the auction view file, and your override replaces that file with your customized copy, so the note is not present in it. That is why you do not see it.
To add it, edit your override of the auction view, which is:
templates/shaper_helixultimate/html/com_hikaauction/productauction/show_auction.php
and add this where you display the bidder's own max bid:
<?php if(!empty($this->maxBidOfUser) && !empty($this->hide_bid_amounts_in_history)) { ?>
<span class="max_bid_hidden_note"><?php echo \Joomla\CMS\Language\Text::_('HKA_YOUR_PREVIOUS_MAX_BID_HIDDEN'); ?></span>
<?php } ?>
As before, it only shows when "Hide bid amounts in history" is set to "Hide bid amounts" or "Vickrey style" and the logged in user has an active max bid.
If you would rather pick up all the recent changes at once, you can compare your override with the current default file at components/com_hikaauction/views/productauction/tmpl/show_auction.php and copy the updated parts over, or temporarily remove your override to use the updated default (you would then lose your display customizations, so the manual addition above is usually the better option).