Anytime your king is in check, ChessPro will indicate such by highlighting the king square in red.
If you attempt to castle, while the king is in check, you'll see this message:
Moves, other than castling, that cannot be performed with your king in check, will display a warning message as well:
Of course, Chess Pro also keeps track of whether the King or Rook have moved in the past. Under such conditions, castling is also illegal.
