This phrase is mainly used in the UK, so it may not be well-understood by people from other countries. My Canadian friend didn't understand when I said he doesn't know he's born, as it's a British saying.
Pro Tip 2/3
Critical Tone
The phrase often carries a critical tone, suggesting someone is taking their easy life for granted. You're complaining about your phone when some can't afford food? You don't know you're born!
Pro Tip 3/3
Informal Use
Use this phrase in informal situations since it's conversational and might seem offensive in formal contexts. Living with your parents at 30, with no bills? You truly don't know you're born.