How can anyone with a mortgage be certain their payments are in fact, going to the correct entity?
Your payments should be going to the “servicer” of the loan, which is not always the assignee of the loan (ie the person or company that holds the note on your property).
If your mortgage is registered in the MERS system, you can call MERS and, with your property title description or loan originator #, should be able to determine who the loan servicing company is now, and where your payments should be going.
Outside of that (eg, if you’re in a rural county not yet infested with MERS into your county recorder/clerks’ office) you need to go see your title/deed and start from the lienholder on your deed and start calling.