for national wonders it lists the missing cities if they are few (<3 iirc). Otherwise only thing to do is go through every city.
For other buildings (or if you build the NW already, then expanded again) you have to check every city, but then again, those buildings are or only for that city (e.g. watermill) or global (e.g. stadium). Only the global ones are of interest then i think, so less of a hassle...
What i find annoying though is not being able to queue multiple buildings along the same line (e.g. coliseum, zoo, stadium) at once even if you have the tech....