I've been looking to where to edit this, and I've found that it appears in various places.
My main concern is that when I have comments in moderation I get emails from wordpress@mydomain, the rest seems to work as setup in the admin panel under administrator email.
I've seen the code and its hard coded in /wp-includes/pluggable.php and its under "If we don't have an email from the input headers"
Do I have a problem or is this normal behavior? Should I just change the wordpress@ to whatever I need?
Leave it. It's normal, it's just the system itself sending you notifies.
Ok, but wouldnt it be wiser to have it also use the email you set under the admin panel? I mean, just in case someone decides to reply to that?
Maybe I am overthinking this and should leave it alone xD
Yes, you're overthinking it. :D
Your server will bounce the mail if someone replies, assuming wordpress@yourdomain is not set up. If your server has a catch-all account for unrouted mail it'll wind up there (and you'll get a TON of spam with that turned on).
If you're really really REALLY paranoid about missing any mail sent to that account (which is just used for system notices like a comment in moderation) then either set up a mail account for it, or a forward to your other email.