G'day, Tassos, and welcome to Kunena.
The short answer to your question is that, when someone presses the button (to report a message to a moderator), this feature creates a message that is sent by email to all system administrators, global moderators and moderators assigned to the category in which the message was posted. That's how the system works.
Perhaps it would be more convenient to do things another way but that is how the system works. This is also how the system works in many other forums. The main purpose of the "report to moderator" feature is to allow users to report forum abuse to the moderators to review and take action as they see is appropriate. While it is technically feasible to perform some other action, no-one has designed an alternative mechanism that would result in using the "report to moderator" feature to create a message on the forum, in a category that was viewable only to the forum moderation team.
While anything is technically feasible, everything has consequential costs. For example, suppose the report to moderator feature resulted in a message being posted on the forum: should the report be visible to everyone (including to the person whose message was being "reported")? How would you quarantine such a report so that the person, whose message was "reported" would not have their suspicions raised as to why people were writing messages on the forum that they couldn't read? And, further, how would the moderators communicate among one another without, likewise, using the forum? This then raises other questions about where, on the forum, such reports should be placed. Last of all, as the final show-stopper (I think) is the sheer cost of time and, possibly, money, to make these changes to make things more "convenient" for your moderators.
The report to moderator feature could be improved, I agree. The present approach has its limitations, I agree. This could be considered a feature request, if you like, for something to be done in the next year or two, maybe, depending on how the developers consider how other options could be implemented; or perhaps this could be made a request for custom work and you could seek quotations from people who might have an idea to do whatever it is that meets your specific requirements. To summarise, what you have asked for is not how the system currently works and there is no plan to change this arrangement at this time.