In the European Union, all foods pre-packed or non-packed for direct sale must provide allergen information. This includes restaurants, delis, cafes etc. Allergens that must be highlighted are: cereals containing gluten (wheat, barley, rye etc), crustaceans (eg shrimp, prawn), molluscs (eg mussel, oyster), eggs, fish, peanuts, nuts, soybeans, milk, celery, mustard, sesame, and lupin. There are some exceptions, where the food is so highly processed that they are no longer capable of triggering an adverse reaction eg fish gelatine in beer/wine, soya in vegetable oil.
If your allergy is not one of those listed, eg lentil, there is no legal duty for the seller to highlight the presence of that ingredient, so you need to read the full list of ingredients carefully. In the past, some manufacturers highlighted allergens in a separate box, but this is no longer permitted.
Manufacturers often use phrases such as 'may contain' to show that there could be small amounts of an allergen for example milk, egg, nuts etc. in a food product because the place or machine where it has been made is also used for other products that do contain that allergen.
This is not a legal requirement, and most foods with these warnings will not contain any of the specified allergen. Nor is there much evidence that foods labelled this way are more likely to cause allergic reactions than those without these advisory warnings.