[2020] When you attack with three Fervent Champions at the same time, is there a way to tell which one's you've already pumped when adding your +1/+1's?

This is correct. When hovering over an ability on the stack, green arrows will illustrate what object(s), if any, put it onto the stack, and blue arrows* will illustrate what object(s), if any, the ability is targeting.

Formerly the client made the 2/1, 2/1, 2/1 case impossible for the player to attain due to how permanents were piled on the battlefield to conserve space. This issue (and other similar cases) has been fixed by separating the Fervent Champions as needed while stepping through the targeting process.

*Some cards, like Casualties of War, can show many targeting arrows of different colors to distinguish how each target will be affected.