Have you tried the "Mark problems" macro available from the Font window? Just right-click in any of the glyphs (to get the contextual menu) and select Macro > Mark problems. Don't know what each color means.

As far as I know, the Mark Problems macro doesn’t mark any overlapping contours, but rather the problems considered as such by Font Audit, i. e., Empty lines and curves, Vector on closepaths, Flat curves, Collinear vectors, Inflection on curves, Weak extremum points, Normal extremum points, Incorrect smooth connection, Cusp and self-intersecting curves, Semi-horizontal and vertical vectors, Contour is not closed & Object is too short.

As for the colors, they indicate how big are the problems and/or how many problems the glyph has. Red means a big problem or many minor things to fix, pale yellow means “don’t worry too much”.

I don't know how to that in FontLab but if you generate a font and open it in FontForge, it will give a warning for every glyph with overlaps. You could than mark those glyphs in FL. I agree it is not the best and most easy way...

Here is a solution to the problem:
http://www.typophile.com/node/84799