We just flew Delta for the Holidays and my own experience is that they definitely did check at security. They looked at both the green tag attached to the carrier and asked for her receipt with our boarding passes at security. Maybe it's a hit or miss type of thing but the last thing I would want to be is held up at security, and having to go back to pay for her trip when trying to catch a flight.
On another note, we were fortunate enough to get upgraded to first class and the flight attendants fell in love with Lucy and let her sit in my lap the entire flight!
