Question: I would like to give feedback to moderators that take action I consider unproductive.

We have all come across popular questions/comment that we would like to up/down vote but that a moderator has locked. The list is pretty long, actually.

Is there such a thing a voting mechanism for moderator actions? The platform would probably benefit from this kind of feedback.

Answer: 
There is no way to vote directly on moderator actions. Moderators perform thousands on actions on the site every day. It just would not scale to expect people to vote on these actions.

Other potential problems with your idea:

1. Some moderator actions have justifications that depend on knowing private information. It would not be possible to make these actions public without violating privacy.
2. If moderators had *every single action* micromanaged by the community, I'm quite certain no one would volunteer to be moderator.
3. Such a voting mechanism *could* become a venue to pester moderators. Currently if you are really certain a moderator acted out of bounds, you can come to Meta to air your grievances. This is a really good thing because if someone is 100% wrong about whether the moderator acted correctly, they'll get community feedback about it. Conversely, if the person is right, the community will support them. Also, the pressure of bringing up the issue in public acts as a deterrent to those who would like to complain about every little thing.
You found Meta.SO. That is the location where you can discuss such issues, and as you see there's already a vote option there. The direction may perhaps appear inverted: if you post on Meta, you'll be upvoted when people agree with you, but downvoted when people agree with the original moderator decision.

That said, I don't see a big need to vote on closed questions.