This is my current understanding of the situation, yes. If you want to do user-to-user messaging and you think folks are concerned about the privacy implications, then you should probably look at complementing Discourse with something else.
For that scenario, I’d recommend a messaging solution with end-to-end encryption, like maybe Riot/Matrix for example. Without that, you’re basically in the same technical space as Discourse where admins can always get access to the content of those user-to-user messages.