Depo shot and no spotting; is this bad?!

My doctor told me that I would experience spotting after the first shot for awhile, but I never did. Is this normal? Is this bad? I'm also wondering, because I'm on effective birth control my boy friend and I never use a condom. We had unprotected sex on the seventh day and so I'm wondering if I should check for pregnancy? (I must add, my boy friend and I have both been checked for stds)