Or rather, it is about visual feedback, but it's not enough to know from that feedback that you're engaged after you've already been engaged. In my opinion, it's just as important - maybe even more important - to be clearly aware of the moment in which melee engagement occurs as it occurs, and to be able to control it and cancel it if desired.
The thing about being locked into melee engagement is that temporally, it's a binary action. One moment, you're not in melee engagement and free to run around, and the next moment an enemy comes juuuuuust close enough, and boom, now you're locked in place. I believe that in a game that has already taken steps towards acknowledging the necessity for less "swingy" behavior in RPG combat, this is something that is worth addressing.
The process of melee engagement shouldn't be a flip of a switch - it should be a visually distinct, gradual and player-controllable process, just like any other in-game action. Thus, as your character closes in on an enemy (or as enemy closes in on him), some animation should begin. This can be a change in the physical stance and/or movement speed of the character model itself, or it can be something that's reflected in the character's selection circle and/or some other symbolic user interface representation. Or both!
While this animated process of entering the locked melee engagement state is incomplete, the player can attempt to retreat without suffering a disengagement attack - although he might fail, perhaps if the enemy realizes what he's doing and sticks close to him, or if he's too late to get far enough away before it completes.
Obviously, the system would be tuned so that trying to go around a melee character before becoming engaged would be impossible - your only way out would be to retreat backwards, 180 degrees or close to it. And even that should be a bit difficult to pull off, if your timing is imprecise or if the enemy chases you.
My inspiration for this system is none other than the much-criticized "Rogue shuffle" animation from Dragon Age: Origins. DA:O was very good about visualizing the transition into and out of melee. You always felt very much in control of the process, as your rogue seamlessly shifted into and out of that slower-moving, hunched, "shuffling" melee stance. It was more-or-less purely cosmetic there, but it would have been very easy to attach an actual game mechanic to it. (Who knows, maybe they even considered that at one point.)