Admins don’t need to advertise that they can access private messages. Their elevated access is implicit and part of the job, not a feature to promote. Highlighting it invites pointless debates about a non-issue.
Also, users don’t realize that their emails, SMS, social media messages, and more can be read by people with technical and/or legal authority.
So I wouldn’t bother with this subject.
If you want to read more about this, tho, here are two links: this one and this one.
“Message direct” 