As far as I know, if the thread gets deleted you will not receive any notification except to any post or reply.
This was new to me too. I always thought for any deletion except it from a thread created by others and if it gets deleted, then you get notifications.
I think in this case we need to have this feature too to have a PM for a thread of yours get deleted. I never had this experience except any posts are getting deleted but for some reason if any of my topic gets deleted then I think I will have no clue unless if any day I feel to check to see any update of that thread and do not see it.