Upvote:2
No-one can tell you what they will do. But from my experience I can tell you that they definitely can ask to see it.
I traveled with a friend who had a passport that required a Schengen visa and a visa to the destination country, and we had a layover in a Schengen airport. When we decided to go out and see the city, they checked the Schengen visa (makes sense), but also checked the connection flight boarding pass and checked the visa to the destination country.