Sunday, I went up with a friend to shoot some approaches and play safety pilot. (I am currently 1/2 thru my IR training). The entire time we were talking to ATC they were giving us traffic advisories and then on the last approach I almost messed myself. We switched from ATC to the tower and were cleared for the circle to land. Just before reaching the apt the tower came on and said...28k traffic 9 o'clock 2000 alt. I looked left and saw another Cessna making a right bank just under our tail about 150 ft below us. My question is if we were on an IFR Flight plan, shouldn't the tower have given us an advisory sooner? Aren't they supposed to keep us separated. It was close enough for me to want to call the tower and ask what the #$% is going on. Any thoughts or insight.