Using [migrated] makes more sense, as the question isn't actually "closed" per se, as it still exists somewhere in the Trilogy. When I see [closed] I just mentally ignore it and move on, but there's no reason to ignore migrated questions... just follow them through to their proper site.
E: Running into this again (I think it's the same case), going to try and get this some attention. Here's another case where this matters:
Guess what happens when I click this presumably valid link in my profile? Anyone?
Well I do get redirected to Programmers.SE, where I guess the question was moved to, but what's this? Oh, a useless 404 >:(
The fact that questions can disappear like this but leave "working" links is really really really annoying.