Thaaaat's....a really good idea.
I don't know why they're not flaggable. Frankly, every message should be.
I approve this feature request, though I can't check into it just at the second. I'll try and work it into the message system update I've been working on for a while.
None of the game-generated reports are, afaik. Not sure if there's something different about them preventing it or what, but I'll leave you to it.
Thanks!