I know of no such rule. Unarmed Strike is defined as a simple weapon, so taking Simple Weapon Proficiency does grant proficiency with Unarmed Strike. The two drawbacks of Unarmed Strike (provoking AoO due to being considered unarmed and dealing nonlethal damage) are qualities of the "weapon". Note that wearing Gauntlets allows you to overcome those two caveats. Characters that lack Simple Weapon Proficiency (Druids) would make attacks with Unarmed Strike at a -4 penalty, provoke an AoO, and deal nonlethal damage.
Amusingly, the write-up for Monk also does not list Unarmed Strike as one of the weapons a Monk is proficient with, and Improved Unarmed Strike does not grant or require proficiency with Unarmed Strike, nor does the Monk's extended class feature version of the feat. Additionally, humanoids with character classes are not automatically proficient based on their creature type of Humanoid without Humanoid hit dice, either. By strict RAW, Humanoid Monks are not proficient with Unarmed Strike. That's ridiculous, of course, as it's obviously a core class feature.
Is there anything wrong with the War domain granting Improved Unarmed Strike? Absolutely not. Unarmed Strike is a horrible weapon, and taking Improved Unarmed Strike makes it into a weapon that is still worse than a club (which has a range increment).
Numerous deities have Unarmed Strike as their favored weapon. Ilmater from Forgotten Realms is the classic example, which makes sense being (last I knew) a Paladin 20/Monk 20 whose Unarmed Strikes are considered +5 holy vorpal weapons. I cannot find any deity that has the War domain and favored weapon of Unarmed Strikes, however. Most deities with the War domain favor (unsurprisingly) martial weapons.