The short answer is yes, a moderator should contact you when a thread is deleted, this is usually in the form of an infraction, in which a 'penalty card' is issued and points given against the user's total.
There are some cases where the mod doesn't wish to issue an infraction, if it's a rare violation for the user, and the rule violation is so obvious that they don't feel it necessary to explain the deletion (religious, political threads in OT etc). One thing I'm finding out is that we need to have a more concise rule (faq) thread in OT, with all the current policies in the first post. I'll get on this.
I'm going to close this thread now, because in my experience threads like this will turn into a free-for-all, for users to air publicly any and all grievances with mods they've ever had. The resulting firestorm will engulf all the mods and nobody will be left to moderate the forums...
SO, I'll just say this: if you feel a moderator(s) is not doing their job, email or PM me. If you feel you should have been contacted upon thread deletion (if you honestly don't know why it was deleted), contact me. This will save you from having to PM all the mods. We'll remedy the situation together. If I don't, feel free to post a thread questioning my judgement. Seriously

My job is to make sure the moderation here goes smoothly.
[edit, after reading the referenced deleted thread]: Toasted, IMHO, one should not be surprised when a thread is deleted, that deals with something as sensitive as the Creationism debate, and especially when started out with words like creationists "believe it is their purpose in life to control others". Is there any way the thread could not have turned into a flame war? The mods have seen this happen time and time again, and so they do like to nip it at the bud. Moderation of religious threads is specifically mentioned in our forum rules.