How to check whether SQM is currently running or not?

As I mention above, how could I achieve that?

So SQM is just set of scripts to instantiate a specific set of qdiscs and/or filter rules, so typically SQM is not running itself (except during starting and stopping, which might be triggered by hotplug events).
To check whether the expexted qdiscs are up an running you can use the foll9wing command:
tc -s qdisc and search for records for the interface configured in /etc/config/sqm. For example for eth0 look for
eth0 and ifb4eth0, the first is for egress the second for ingress, if you cobfigured any of the shaper rates to 0 the corresponding interface will have no SQM related qdisc, or in the case of ifb4XXX might not even exist at all.