I have never used moderation myself so I've never seen the problem you are talking about. But my guess is that it's a bug that's causing the NA to not show up in threaded view. Replies don't get the right icon and the color of the username is also wrong on replies, so I would guess it's the same problem. I'll check up on that.
Regarding more useful ways of approving posts, it has been requested that something should be done before and your ideas seem to be good. I'd vote for the second proposal, it seems to be very convenient. I'll put it on my todo-list, but since I'm not using moderation myself it won't get a high priority, so maybe someone else could give it a try?
[]Is there even an option to assign moderators to special forums ? NO
I'm not sure I'm following you here... You can assign lots of moderators to each forum, so that they can approve posts, edit other peoples posts and so on.
What option is missing?