No, you don't get an alert.
No sets that have unique (non-duplicated) collection info should be deleted without every effort being made to ensure they user's collection info (haves, wants, and FS/T) are not negatively impacted.
If a set is removed because it's duplicated in the Database, any collection info that isn't already in the set remaining is moved over. Any collection info that is duplicated is removed with the duplicate checklist.
Nec Aspera Terrent
I'll never quit collecting entirely, but I am downsizing. Check out my COMC store and help me thin out what I don't want so I can buy cards that I do want. See something you like? Send me a message on here, and we can knock the price down quite a bit. I'll even take a bit of a loss if it means getting you a card you really want.