There's not really a set etiquette, per se. Some folks seem to think it's only polite to acknowledge the karma bump, others don't see it that way.
Personally, I never expect any sort of response -- how do I know that the person has even noticed they can see who gave them karma in the first place?
Sometimes, I "reply" in a PM, usually I don't, it just depends on the situation, and especially what, if any, comment they add.
Speaking for myself, I most value the smaller, one and two point karma bumps from newer folks for whom I've answered a question -- knowing that they found my answer helpful enough to be worth noting that way is a much bigger deal to me than how high my actual number is. Though I'm honest enough to admit that I do enjoy seeing the number grow too.
