The normal use for a thread being unapproved is that it is submitted unapproved and then approved at some point. Unapproving after the fact isn't really a core use case for the system (normally you would delete in this scenario).
When the thread is created, the user will be directed to the thread with a note saying that the thread is awaiting approval before being displayed. At this point, they will still see the thread in the forum in question, though it's worth noting that there are many other places where we haven't generally displayed threads such as this. This will last for approximately an hour to allow them to get back to the thread to make adjustments if needed.
If you are unapproving a thread after the fact, as you've noted, there's no notification to the user, so if you're expecting them to take action, you need to do that manually and that would be when you would direct them to the thread in question.