I'm doubtful that this happens all that often. From the data I looked at, it might happen every month or two at the most.
I can't speak for all the moderators, but there are several reasons that I might comment on a question that later gets closed rather than close it myself right away:
Not all questions are clearly off-topic. The process of closing questions is subjective. I might think that a question would be on-topic while other users might later vote to close it.
When questions are borderline off-topic, moderators are encouraged to let the community decide if the question gets closed. Moderators are supposed to be the exception-handlers for when user-led processes don't work properly. Question closure is supposed to be handled primarily through the votes of non-moderators. Unfortunately, Pro Webmasters doesn't have a large enough user base for this process to work well. Moderators need to get involved in nearly all close and re-open decisions.
In the case when a question should be closed as "Needs details or clarity," I often write a comment asking for details and leave the question open for a couple hours. If the person who asked provides more details during that time, the question doesn't have to go through the whole close and re-open process. To me, that seems more user friendly and less likely make our site seem unwelcoming.
I don't always read every question carefully. I may skim it and find something to comment without digging in enough to see that the question should be closed.
When I am on a mobile device I often find it difficult to deal with question closing. I find the search for duplicate questions especially hard on mobile. When I'm using our site on my phone I may comment now and wait until I'm back at my desktop to deal with question closure. I've also sometimes flagged questions for other moderators to deal with when I'm roaming.