When I came to the US in 2005 under my J1 visa, I obtained a social security card under which you could read "Valid for work only with INS authorization".

When I obtained my EAD back in October 2007 and went to get my name changed on the card I figured it would be just the same.

Well I received it a few weeks later but.... No special mentions on it. It looks just like every american John Doe's card.

Do you think they make a mistake and that I should consider myself lucky?
I still plan to go back when I receive my Green Card to get the datas updated, but I wondered if this happened to anyone else.

Yes and Yes

Call the SSA 800# (1-800-772-1213) and see if the "IDN" code on your SSN record is "H". If it is SSA already has you down as a permanant resident and there is no need to do anything after you are issued an I-551.

Thank you for the tip, I'll do that.

https://secure.ssa.gov/apps10/poms.nsf/lnx/0100202235
RM 00202.235 Form SS-5 - Evidence (IDN) Codes

The system generates an evidence (IDN) code based on the applicant"s allegations as to citizenship (Item 3) and place of birth (Item 7), and the codes entered in the PBC, EVI, EVA, EVC, and PRA blocks. One of the following IDN codes will be shown on the Numident.

H -- The applicant is an alien lawfully admitted for permanent residence.