To slightly generalize this, I think this feature request boils down to a setting Notify me of my own posts when I'm watching a topic. I don’t think that makes a lot of sense, but on the other hand, I never understood the idea behind mailing list mode echoing your posts 
Another way to read this is a request to add an option to expand mailing list mode to messages.
This discrepancy occurs because watching every topic and having mailing list mode on behaves very, very similarly, but differs in the ability to have your own posts echoed – and mailing list mode doesn’t exist for messages.