When working on a film set, or rather, in life in general, you’d want to always acknowledge when someone tells you something or is speaking to you.
If someone is telling you to go do something, acknowledge it. They’ll know that you got the message, and it’s also a sign of respect.
A simple “copy” or “roger” or even “got it” or “ok” will suffice!
These little things will make you better than the rest, and shows that you’re attentive and, if I am bold enough to say, smarter than the rest.
Go out there and acknowledge!