Hi Knud,
If the user clicks on a result, then it acts as if he was visiting the particular URL. So, if you have a 404 detection module, like the one in SeoWP, that will notice it as usual.
Unfortunately the search cannot detect the 404 redirects, as at that point the page is re-loaded, and it’s not possible to tell if a link leads to a missing page, before the redirection.