I know sometimes mods lock threads at their own discression, especially at boards where they are a local moderator. At least when s thread gets moved there's some forum notice being posted. But for locking a topic there's nothing to signify it was a moderator action.
I just think it would be a nice courtesy if mods would just add a post before locking a topic to justify why they felt it should be locked. It's good to put this info on the record for future reference. And also from what I understand, since the OP can unlock a topic locked by a mod, a post by the staff member that took the action would prevent misunderstandings.
A note would be fine by me, cos how can you find out what you did that made mods lock your thread? But nevertheless, if you know the rules of the forum, so in the first place, you wouldn't had that thread locked.
Otherwise, you would DM mod and ask the reason, cos that is more communicative.