I don't think there's anything wrong at all with the current system. Moderators are simply letting a member know that their thread has moved. It's not a punishment, warning or any other kind of formal message- it's simply a friendly note. It's never been an issue before, and is far more easier and laid back than doing it through a PM. Normal replies we get back are things like "thanks" and "oh ok" etc and it's just nice to have a bit of dialogue between members/moderators. It also gets members familar with who moderators are.
In regards to Moderation PM's. This is an ongoing battle and it would be impossible to find the perfect balance here. There are only so many ways you can convey a rulebreak in a PM, and the vast majority of these will be similar. The PM's do their job of alerting what rule was broken etc, and I believe if you make it too "jokey" the PM won't be taken seriously and the rule will simply be broken again. We try to help members by making PM's crystal clear as to what rule was broken and ensuring that members are familiar with that rule.
PM's sent to newer members (who have previously not been contacted) are often a lot more friendly now compared to previous times, and we do ensure they are made to feel welcome whilst at the same time being nudged in the right direction regarding the rules.