God forbid you ever need to move back to MA (don't do it!!), but if you did they would use this as reason for denying any future LTC.
Other than that, I'll take a wild guess they won't pursue you legally all the way to NC for not notifying them as required. But, this is mainly due to their incompetence in detecting that you left without telling them, rather than their lack of desire to go after gun owners. Hey, I still get notices from the RMV and my license is still listed as "valid", even though I've been in NH for nearly a year and turned in my license when I got my NH license. Keeping track of data isn't their strong suit.