Absolutely since mods can’t see PMs (sorry “personal” messages, not private @downey) only Admins can.
It’s kind of an edge case, but say an admin is trying to figure out a pattern of a person sending abusive PMs, they might want to search from that person’s Messages page to figure out what kind of hate they’re slinging via PM and to who.
Very narrow use case, can mostly be ignored for now IMO. 99.9% of the time you search your own PMs.