TLDR version: desensitization. It happened seven times already.
I don't know if it's the in-canon answer, but there's a phenomenon called desensitization, which is when something shocking or painful
happens so many times you forget that you're feeling it. For example, some soldiers who have put up with a lot of violence will simply put up with it. Know it's there, recognize it, but shock factor is no longer there. It happens with physical pain too, as your brain pretty much tells the hurt limb "yes I know you're hurt shut up" if it's been hurting for so long.
I wouldn't know what a torn soul is like, but if it's been ripped seven times he can probably put up with it again. (is that the right number?) This theory is more logical if the pain associated with a torn soul is a constant ache... Which seems logical to me...
Okay, so he's used to the pain. But why didn't he notice the magic happen? Well... I don't know if there's a light show that happens when a horcrux is made, like with other spells or with the Dementor's Kiss when it shows the soul, but even if there is, it happened at the same time as the killer curse, so it would have been covered up well by that green light.
Oh and also he was distracted by DYING from Harry's mother's sacrifice.
So, he didn't notice that he made a horcrux. If he didn't know he made one, how would he know that the soul piece stuck to Harry in particular?
When Harry comes close to any horcrux, his scar starts to hurt.
This was only in the movie, Harry had no connection to Voldemort's other horcruxes in the books. They probably only added that in because they'd already removed all the scenes in Half Blood Prince where Dumbledore tells Harry what the horcruxes are and how Voldemort got them.