It gets displayed right after logging in, either directly through `login` or indirectly through something like SSH.
If you're using a desktop environment that's likely the reason: the message is hidden by your DE, and starting a terminal emulator does not cause a login.
You might be able to see it by switching off your DE and logging in manually through the virtual console.
You won't see it on a graphical session. If you ssh into a server (or remotely onto your pc) it will get printed. Or switch to another vitual terminal (Ctrl + Alt + F8) and log in, and it should print whatever is in /etc/motd
