Not following, Make personal message is a “topic level” action, not a “post level” action.
If stuff gets heated for say 5 posts in a 50 post topic you are stuck first splitting the topic before turning it into a PM. Bringing it back to the topic is going to be an adventure.
The reason I think adding mods makes sense is that, the reason, in general, for making something private is that you are performing some sort of moderation. So the default of making other moderators aware is sane.
That said, you already can opt in to this by invite mods after turning it to a message, so this, at best is just a minor usability improvement.
Note, by default moderators have the tracking notification level on group pms to moderators, so this does not flood notifications, it goes into the aggregate one. It’s the same bucket as “a moderator replied to a flag”.