A reasonable suggestion. ... If TER can either program it without breaking something else -OR- have a human Admin manually post such a message. Also, I assume you mean that the alert should be on the MOVED post in the new location. Or did you mean there should be a notice on the ORIGINAL board?  
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Adding an alert to the original board can be useful but problematical. E.g., "If you are looking for the scurrilous, offensive, insulting post from UserName with Subject line "Offensive Post", it has been moved to "P&R" (as an example). Yes, MOST moved posts are probably not offensive, e.g., a post about "Looking for Something in Atlanta" will get moved from General to the Atlanta board.
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In the interim ...
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1. The OP will always know that their post was moved by looking at their list of MyTER > My Board Posts.  Likewise, anyone who has already replied can check the location of their moved replies, too.
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2. E.g., let's assume an OP to General gets moved to S&P. The OP (or anyone) can then reply to the MOVED post with a short: "The OP was posted to General but the thread has now been moved here to S&P." That will appear as a REPLY and not at the TOP, but it lets readers know of the change and might explain pre-move "Wrong board!" replies.