warn "Loaded";at the top of pg/lib/Parser/Context.pm, then you should see something like:
[Thu Jan 15 18:00:31 2009] [warn] [client 127.0.0.1] [/webwork2/DPVC-test/Undefined_Set/1/] Loaded at /usr/local/WeBWorK/pg/lib/Parser/Context.pm line 3.in the error log. But it turns out that you should also get the pick screen and the warning on the actual WeBWorK page itself. You need to load a problem that tries to use MathObjects, and because Context.pm is one of the files that is cached by mod_perl, you will only see the message the first time that any Apache child process loads the file (i.e., you may not see it if you reload the page, unless you get a different child process).
Remember to restart the server after making the change.