On other SE sites members whose answers have received downvotes often ask the downvoters to at least explain their votes. Is it good practice to do so?
Yes, if you want the answer you downvoted to improve, you should let the autor know, what he should improve. Even if you just say, the answer is wrong, it helps. Getting good answers is a main goal of this site, and by downvoting a bad answer you dont make it better.
Also, getting downvoted without knowing why, can make a person stop answering future questions.
Sure, in case we felt to down-vote a poor post we can explain in a comment why we did so. This helps users to improve their posts, and it also avoids confusion. In order to keep voting private there is (and will not be) any obligation to do so.
Whenever such a comment led to an edit of a post, and the reason for commenting was fixed, we should delete our now meaningless comment. In case we do not get noticed about an edit the comment may get flagged by another user for removal. This also implies that whenever we see an orphaned obsolete comment on any post it is encouraged to flag it as "obsolete".
It is also a good idea to then revert our down-vote.