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.
Rather than commenting on the feature request itself, I'll comment on some appropriate action to take when you disagree with any moderator action.

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Come to the meta. Post about the situation. Include relevant links (the question, answer, comment, edit, whatever). Explain what actions had been taken before the moderator got involved. Explain what actions the moderator took. Explain what actions you feel should have been taken, and *really, really* put a lot of effort into explaining why you think the moderator's action was wrong.

And remember to make it all about the specific action and not about any of the users taking any of these actions.

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What will happen?

Well, other users might explain to you why your opinion about what action should have been taken is wrong, maybe even citing evidence of the problems your sort of action might cause.

Or the moderator who took the action may show up and explain their actions.

Either of these may satisfy you (perhaps there's an element of the story that you aren't aware of).

Alternatively, also, the moderator may come and admit that their actions were wrong and reverse their own action themselves (because you sufficiently convinced them).

And there's always a chance that other moderators could step in and overrule the standing decision. Please note that this isn't a mark against the moderator who made the decision... it's just changing the end result. All of the moderators are human, and all of them have made mistakes.