Depends on your workflow, I guess. I don't need to handle that case you noted and we delete the branch on remote after it's merged. So, it's good enough for me to delete my local branch if the upstream branch is gone. This is the alias I use for that, which I picked up from HN.

    # ~/.gitconfig
    [alias]
        gone = ! "git fetch -p && git for-each-ref --format '%(refname:short) %(upstream:track)' | awk '$2 == \"[gone]\" {print $1}' | xargs -r git branch -D"