Staff members usually can post inside moderated content, just as they can also approve or disprove content. Of course all this can be changed via the user group settings / moderator settings that you applied upon that user.
You say that normally it just moderates the thread, not the posts? This isn't functionality built into Xenforo and would require an add-on that would moderate just the first post. Are you using any such add-on?
No add on for this. Normally - a member starts a thread in this forum and it's then moderated with the little moderated badge on the thread list page. This time, my moderator started a thread in this moderated forum and the badge was not present on the thread list page as it normally would - each member who posted on her thread went into moderation but they must have been able to view her thread to respond to it in a post.