Oh yes - it's probably the worst part of the job. But I think it's necessary for community because people respond differently when they're getting personal attention.
It's still my intention to build a canonical set of explanations for each common question and then mostly refer people to those. I've inched toward that over the years via HN Search links to my post moderation comments (which I know can get a bit annoying).
Even then, though, the mechanism will just be standard comments in ordinary threads, because that's how conversation takes place here, and people will always want to have personal conversation with the mods.
Users also tend to respond better when they get a detailed explanation of specifically how their post(s) broke the guidelines. Unfortunately, that sort of explanation is super expensive to produce—in time, energy, and stress. I don't have what it takes to do it in every case, which is a pity, because it tends to work. Here's an example from the other day: https://news.ycombinator.com/item?id=35403143.
Long term, we need better feedback mechanisms to let people know that they've broken the rules, and which rules, and for how long they might be in the bad dog box.