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Err, how do I say it...
Not all my Moderators are computer savvy, so I like to keep their interfaces as simple as possible. I completely trust my Moderators, but they could get overwhelmed with the Administration menu followed by all the options for Forum Admin; I don't want them to go through all there and end up deleting the entire forum when they are trying to lock a thread.
Maybe that better explains it.
Another reasons is that I was foolish once and one of my Moderators became upset and started to delete forums like crazy; I don't trust people nearly as much as I used to, so you'll have to forgive me for not granting them sitewide admin privs to the forums.