I learned something today when I read your post. I use a lot of Groups and use PM a lot for my 600 members in our MC club.
I noticed that I have set up a lot of groups in the Messanger part of PM. And also a lot og roles in WordPress. Because I used most of the same roles i WP as groups, I lost the focus of the difference.
In Announcement PM use the roles you have in WordPress, and in Messenger they use the different groups you make in PM
The difference is huge and I missed for one sending today, because one user have several roles in WP.
Maybe I explain in a confusing method, but if you would like to see at my site, I will be happy to show you.