It appears that members are not sent any notification when a moderator changes their Role. I think perhaps there should be.
I know the "Send Message" button is right there beside the "Save" button, but using it discards any Moderator Permissions you may have altered (effectively cancelling the changes). So you must remember to use it before making changes, or after clicking Save. But after clicking Save you're thrown back to the list, so that's not very convenient either.
At its simplest I wouldn't be adverse to just automatically sending a completely boilerplate message (no customization) to the member from +owner whenever you click Save. Maybe only for Role or Permissions changes, maybe for any changes.
Or have a combined "Save and Send message" button. But of course that feeds into the wishlist item (which I didn't find on Trello) for an archive of all outbound +owner messages (and a unified one for inbound too), Or better, outbound and inbound in one archive, threaded just as group messages are.