Not all flags create a PM with the moderator group. If a user flags as ‘Something Else’ a PM with the moderator group is created. This is why you have some flagged posts in the moderator inbox and some in the /review queue.
Anyone feel free to correct me but perhaps (I haven’t used the feature yet) if you create custom moderation flags and check the ‘Prompt users to provide additional reasons’ it will create a PM with the moderator group and the flagger?