Yup, this is so common I made a site showing where it happens [1]. Prior to this there was no easy way to see what had been removed from your account. Even I as a developer had no idea it was happening for years because (1) mods do sometimes send removal messages, leading me to believe they are always sent, and (2) as you wrote above, removed comments do show up in the thread when you are logged in. Everyone else sees [removed].
Yup, this is so common I made a site showing where it happens [1]. Prior to this there was no easy way to see what had been removed from your account. Even I as a developer had no idea it was happening for years because (1) mods do sometimes send removal messages, leading me to believe they are always sent, and (2) as you wrote above, removed comments do show up in the thread when you are logged in. Everyone else sees [removed].
[1] https://www.reveddit.com