You done nothing wrong. XF treats administrators and moderators as two distinct roles, that is why you need to add yourself as a moderator if you would like to perform moderating duties on top of your admin duties.
Groups and permissions->Staff->Moderators and click the Add moderator button, and add yourself as a Super moderator. The screen that comes up will allow you to select the moderating group to join, and set the permissions you would like. As a super admin, you would want to select all permissions, if they are not already selected.