In the normal course of things, Discourse soft-deletes posts and topics, meaning that they still exist in the database and can be recovered at a later point if needed. These soft-deleted posts/topics get the red highlighting and are removed from view and inaccessible to most users (barring admins, mods, and any users in groups added to delete all posts and topics allowed groups). As moderators can only access PMs when they’re flagged, this also means they don’t have unrestricted access to deleted PMs in the same way.
To view a list of deleted topics, you can append ?status=deleted to a topic url (eg. https://meta.discourse.org/latest?status=deleted), however deleted PMs are trickier to find as there’s no collated list of them. You would be able to still see them if you had a link to them, and you can find them using the data explorer if you have it installed.
To permanently delete posts and topics, you need to enable a hidden site setting (can_permanently_delete) which would allow you to hard-delete them and completely remove them from the database. You can find more info on that in this topic - Introducing permanently delete post functionality
Does that help explain things?