Some #plugin & #theme-component that maybe of interest.
Personal Messages
Are not a 100% private Admin can view, Moderators can view PM with a site setting change.
Discourse has a plugin that enables peer 2 peer encryption. - If going with a paid hosting look to see if plugin is included. Self-Hosted cinsider installing:
#theme-component to Consider
The cookie consent Banner might not be enough for GDPR. You would need to check with local laws. @Jagster might have sine info on this and/or suggestions for #theme-component & #plugin to consider.