Yes, doctors should know about medications they are prescribing. They should be aware of and warn you about any common side effects, tell you how the medication should be taken and when you should expect to see a difference. Further, they should not be quick to write out a new prescription before exploring alternative therapies or a specialist to see if the medication is the best option.
The best thing to do when seeing your doctor is to ask questions. This will help involve you in your own care so you can understand the expected outcome, things to watch for, and alternate therapies available to you.