Do airline pilots ever risk not hearing communication directed to them specifically, from traffic controllers? I gather pilots communicate regularly with air traffic controllers within air traffic controllers' jurisdiction or airspace as they enter the space, during their time in that space and as they leave.  In some or most instances, they will not land in that air space, they are simply passing through and may encounter lots and lots of regional and international air traffic.

They are routinely directed by air traffic controllers to fly at a certain direction, increase or decrease altitude for safety in order to avoid collisions and accidents.  In most instances, auto pilot is engaged and I assume the headphones come off, for flights longer than say 2 hours or even 1 hour.

Speaker phone may be on but pilots can read a book or watch a movie on their laptop or revise their reading on knowledge of their ever changing craft.  At a certain frequency.

I gather lots of communication to planes occurs and listening to all of them can become tedious and may require too much concentration.  In this light, do airline pilots ever risk not hearing communication directed to them specifically, from traffic controllers of space they are flying past on cruise?

Does a light or sound or siren switch on when a message is directed at them and I assume they differentiate communication directed at them by their call sign, e.g., American Airlines Flight 200.  

Is there a risk they might not hear it and how is that risk mitigated?
There is a ton of radio communication during the taxi, takeoff and departure phases, and then again during the arrival, landing and taxi phases. Pilots are generally very busy at these times and 100% focused. Airlines have two pilots, and one will be flying while the other works the radios and monitors various instruments.

Cruise is another matter. There generally isn't a lot to do other than keep an eye on the autopilot. The pilots will take turns eating, resting, going to the lav, etc. Radio work usually involves little more than getting handed from one frequency to the next. They may get rerouted due to traffic or weather, but it only takes a few seconds to update the autopilot.

Either way, pilots do occasionally miss radio calls. So does ATC for that matter. It's common enough that nobody gets worried about once or twice, though it's annoying. If it's a real radio problem, there are procedures for both sides to follow to keep everyone safe.

There (usually) isn't any sort of light or tone when someone is calling you. However, the standard format is "called station, calling station, message", so with a little training, your brain can quickly tell whether the message is for you. If so, it "tunes in" and you consciously hear the message; if not, it "tunes out" and the message is just background noise.