Here's what I think. It is just a guess; so I hope I'm not offending any moderator.
When you click on the "Alert bad message" button, it alerts a moderator. There are just so many moderators for CZ. They may not have time to read the entire thread to discover why the message was considered "bad" by some poster. They might be reading it "out of context" and make a decision at that point. Safer to make a decision to turn it into a "Hidden Message" than spend time to make a full judgment on the thread.