Not quite. That's how it should work for threads (and it does) but not sure it makes sense for it to work like that for forums.
You're watching a forum as it relates to something specific. If a thread doesn't belong in that forum (i.e. it gets moved), it's a safe assumption that it's NOT something you're interested in as it doesn't belong there.
But that's not what the alert says... It says he started a thread, not that he posted a reply. If it had been moved to an unwatched forum, shouldn't the assumption be that as the target forum isn't being watched, then the post is not of interest?