On my forum, I’ve changed text to make them “Direct messages” instead of “Private Messages”.
I’ve also added a disclaimer in the ToS and another on the message editor page.
This is important because some users were flagging messages sent to them, requiring moderator action. The content of the flagged post is visible to moderators.
This flagging of messages is required to stop ‘abuse by message’. Users were happy with it, so long as they are told it’s a possibility.
Of course you should believe that the admin of any system you are using can monitor your activity. Even in end to end encrypted systems you are trusting the admin not to insert code that captures your keystrokes.