Right. I think you understand it correctly. The set of 10 coins sold by the Mint comes in a nice holder but is not "slabbed" and therefore does not have a "slabbed" grade. The state quarter in question could grade from PF-68 (almost all would be this nice) up to PF-70. Even though there is a market for proof quarters slabbed PF-68 or below, they need to be PF-69 or PF-70 to be considered desirable. The proof coin in the Mint's set is a pig-in-poke and could be any grade. Sounds cruel but a PF-68 modern era coin is considered ugly by many collectors.

The mint state coin, which at MS-68 would grade at a lower number than most proof coins, is more desirable because it is rarer. All proof coins are nice but few mint state coins are that nice. A mint state state quarter can be rare at MS-66 but a proof state quarter can be common at PF-70.