As I wrote in response to a related post:
Most moderators only moderate one or two sites. Any other site they participate on, they're a normal member of the site and should feel free to participate without distraction. We've never done cross-site flags for the express reason that doing so would interfere with the ability of our moderators to ever take a holiday: moderators should be moderating when they're active on their sites, not dragged away from doing something else.
I'm not dead-set against some sort of cross-site notification system if there's a good reason for it - but the previous behavior was entirely a side-effect of how it was implemented, and I see no reason to preserve that just for the heck of it.
Note that for moderators who are moderating multiple sites, it's extremely likely that messages from more active sites would completely overwhelm the slower ones... Where arguably mod-messages deserve a bit more oversight. We avoided this in the past by redirecting all mod-messages on smaller sites into the inbox, but this wasn't a great solution either.
If you can come up with a good reason to do this, post it up - otherwise, the "work-around" is to just visit the sites where you're a moderator regularly.