I have taken one pre-employment UA (in 1998, before I started smoking) and I was not watched. They took my possessions but did not pat me down (I think they might have made me empty my pockets), gave me a suspicious look, and sent me into a room with a closed door to give the sample.

I drank copious amounts of water while waiting in the lobby, which I assume looked suspicious but seriously I just get peeing anxiety, but even so, nobody searched me in the slightest, just took my coat and stuff.