If only replies are moderated (but new threads are allowed) then people can post messages in the form of new threads, hence making the explanation incorrect.
So if you click the moderate replies checkbox it will moderate both threads and replies? This is silly, just change the text to match the sentence above it.
You're missing the point completely. All of the tick boxes only act on a subset of "message types" whilst not affecting the rest of them and the text implies that all "message types" are affected. It's wrong.