Well, like a couple of people said, one would think that only the participants in a private conversation would be able to read them based on the idea that it’s outright called “private” messaging. (Though I just checked in a private message conversation that I’m a part of and did see that there’s a “Flag” option that I assume would report a message to anyone with sufficient mod authority and allow them to read it.)
I would be a lot more suspicious about private e-mails, since there’s really no way to report those in, at least around here, if someone decides to harass you or do inappropriate stuff (sending nude pics, etc.).