Some moderators PM and some don't. Personally, I most often do. Its not a standard policy to do so though. However if one of your threads ever dissapears and you can't find it, or figure out why, you are welcome to PM a moderator of the board it was on to ask about it.
Also, aside from searching for your posts via your profile there is another way to locate missing threads.
If you go to the forum index, you will notice a list of four links on the top right hand side. They are:
View posts since last visit
View your posts
Show own topics
View unanswered posts
I am sure that you will find these are invaluable in locating both threads and posts if they are recent.