We have this scenario. You are waiting for enemies on high ground and you are preparing to blink. You hit blink button and you hover your coursor over the place where enemies may appear. They appear after some time and you try to blink and immediately use you skill. But it turns out blink was on cd because of radiance or some other low dmg aoe spell. You just wasted your ultimate. For people not using quick cast (i assume it is majority of players, Valve you can check that) it is not super often but when it happens it feels super terrible.

I think that there should be additional sound when we click on our blink and then we get damaged. It could sound like dropped sword so it is very distinct and different to cd sound or taking damage sound. Maybe even cursor could have some effect.

Imo it could prevent some nasty mistakes that shouldn't happen. And I would argue that they happen only because player doesn't get enough feedback. And additional sound effect could fix just that.