exiledsaint - I believe you only have to do one if you have UK tax liabilities (interest on savings, rental income etc). HMRC usually send you a form if you need to complete it, but it is your responsibility to complete one if you need to (so saying "you didn't send me one" isn't a valid excuse!).

I would have thought that you'd have at least had to do one for the year you left the UK, as that would require split-year treatment. Then again, perhaps not if you just applied for a refund for your overpaid tax. I'm not a tax expert so don't take my advice as gospel!