Mazda is on the money here.
Good that you were listening on the 'appropriate' frequency, and good that you had TXPDR ON as well as with ALT selected (This is really important - no ALT = no Mode C, and lots of nuisance alerts on TCAS with overflying aircraft in Class C, as well as providing the controller with no situational awareness in the vertical sense)
ATC will not, normally, provide an unannounced traffic alert like that - the most likely reason is that the controller noticed you - hard to do with the number of aircraft around the BN area in Class G at times, and that he/she deemed an alert was neccessary under a duty of care provision - but it was not required under an Air Traffic Services provision.
Nothing stops you howeverm requesting it - i.e. a RAS/RIS - Radar Advisory Service/Radar Information service. Workload permitting the controller will identify you, and provide you with a snapshot traffic, position or navigation advisory, and if you request, an ongoing Radar Information Service.
Obviously you must be TXPDR equipped, Radar Identified, and you must remain on the VHF ATC frequency until such time as Radar Services are Terminated and you are instructed Frequency change approved. If you leave the frequency without this, ATC willl declare a 'phase' on you, and this may initiate a SAR operation to 'find' you!
RAS/RIS costs you nothing directly - use it. (or lose it - the BN RAS Frequencies are often combined with CG APP, not only if it gets quiet, but also due to staffing issues.)