Should I send a thank you note to the reply of a potential PhD adviser?
I would say, write a very brief e-mail in response saying something along the lines of "Understood, thank you very much." It's probably unnecessary, but it takes fifteen seconds to write and five to read and delete.

In particular -- a thank you note has essentially no possibility of annoying the professor, at least if it is not also accompanied by some sort of request. I would say -- if you are contemplating writing a brief thank you, then you may as well do so.