How can we tell that what we e seeing is gravitationally lensed?
For the case of microlensing, the shape of the light curve (brightness as a function of time) is precisely calculable from general relativity, and the observations match the expectations. Also, for a microlensing event, we expect the brightening to be “achromatic”, which means that it happens similarly for all wavelengths of light; other kinds of variability (variable stars, novae, etc.) will look different in different wavelengths. Microlensing events do indeed look the same when measured in different wavelengths. For the more general case of gravitational lensing, e.g. galaxy image distortions due to the presence of dark matter: again, calculations using general relativity predict what you would see, and the observations match the predictions.