No — nothing at all. There are no delete hooks wired up between Gravity Forms and GoCardless in either direction. A subscription or mandate created through a WPDD form keeps running exactly as scheduled in GoCardless regardless of what happens to the originating form or entry in WordPress; you'll just lose the ability to see or manage it from inside WordPress. If you actually want to stop the payments, you need to cancel the subscription or mandate directly — either through the WPDD dashboard (while the entry/form still exists) or in the GoCardless dashboard itself.