It just appears. the injury to the owner is loss of the trade route unit (caravan or cargo ship) and its flow of gold and beakers.
Yeah, that's what I figured. I nabbed 200*2 from Austria last night, and when I checked she was losing ~60 GPT.
Another question. I know both sides of the trade route gets upset with you if you plunder. But what about civ <-> CS routes? Will the CS or their ally get angry?