When a message is sent from inbox to "ALL" participants in a class, it seems that everyone EXCEPT the sender (who may be the head instructor) will get a email notification that a message is waiting on canvas.
Apparently (according to your help desk) it's a deliberate "feature" (which I would class as "bug" not a feature).
Since "no news" is not necessarily "good news" , it is reassuring to get confirmation that a message has indeed gone out to everybody. Some extra work to filter the sender from a list of all particiapnts had had to be coded to achieve this "feature" in Canvas. At least provide an option to "include sender in message notifications", if the program designers really feel this is good default behavior.
I suppose a workaround might to create a copy of oneself as a dummy "observer" in the course.
In email, the sender can also include himself in the "To" list of recipients.