That would depend on the community.
My personal decision for hosting PMs is: only if I trust the people in my community. So on my family forums I allow PMs, and enable log personal messages views and have never once looked at a PM in this manner.
For public communities I don’t allow PMs. I guess I can also say I’ve never once looked at a PM on such a site. 
But I can see some communities where moderating PMs is a useful tool. Even then I’m not sure about proactively checking unflagged PMs… what I mean is, I wouldn’t want to be in a community where that happened, unless there was a good reason; it’s not part of my culture.
No, that is not a situation. If you’d like to know more about how the law in your jurisdiction works, please contact the relevant agency; they’ll be able to explain what they can and can’t do to enforce the law. 