This is not an issue in Drupal 7, but is in Drupal 6 - if you delete an input format, the filter module has code to update all the places (in core) where that input format is stored to switch over to the default format instead. It doesn't do that for user signatures, however.
Input formats were attached to user signatures in Drupal 6 as part of a more recent security release, and I guess we forgot to add that code for it then. It is not a security issue that the signature format is not updated (that is handled by the fallback code introduced for SA-2008-073), but it still should be fixed.
A patch is attached.