I flagged a question as offensive, figuring that it may not get the 6 votes needed to shut it down, but it was the right thing to do
Actually, the jury seems to be out on your conclusion there. Without seeing the post in question, we simply can't say, but looking at the comments on Shog9's answer I'm thinking there's some debate.
I did not flag the moderator, I just flagged the post as offensive.
The flag dialog is perhaps a little confusing. There's "flag for moderator attention" and "flag as offensive. However, there's one flag queue. Moderators see them all, for this reason:
They do not need to be mod-targeted specifically, since it doesn't always require their intervention.
Yes they do. Moderators need to be aware of patterns of repeated abuse so as to deal with problem users. This means stepping into the flag queue and handling flags, offensive, spam, etc flags.
If they don't want to fix it, then fine just leave it alone, but there is no reason to decline an offensively flagged post.
Actually yes there is. Flagging post as offensive, if carried through, has a -100 reputation penalty to the poster. Secondly, you've just generated another flag for moderators to review. Moderators volunteer their time for this. I see nothing wrong with letting good faith, thanks for letting us know but I didn't need to do anything flags go as helpful/no action needed, but blatantly wrong flags should be hammered. That line is of course subjective - see the first point I addressed.
The message is also plainly wrong
I think it's about right - only flag things moderators may need to do something about. That doesn't necessarily mean they're going to act on that exact post - but they may need to do something, even if that's only talking to other mods and taking note of the situation. However, what the message is saying is that if a moderator really doesn't need to see that at all, then don't flag it. Back to point 1 again.