Accordingly to http://developer.android.com/google/play/expansion-files.html,
The main activity in your application (the one started by your launcher icon) is responsible for verifying whether the expansion files are already on the device and initiating the download if they are not.
And they really check existance of OBB in onCreate method of main activity.
I wonder how do I handle situation when OBB is present at application launch, but afterwards, during gameplay, user erases it and returns to the app. And do I need to take care at all?
I've only started with android development, but ...
You should be able to implement a http://developer.android.com/reference/android/os/FileObserver.html to watch for deletion or movement.
However as Kai stated, most people don't delete things they don't know about. So I wouldn't worry about it.