TLDR: You can close this bug report.
(thanks for your support)
Search UI Improved
In the time since the original report the definition of “in:private” has changed (became more clear)…
… the new “Advanced Search” UI for search makes it clear to the user that the “in:private” search parameter will only search “my messages” opposed to “private messages” which previously didn’t indicate the search was limited to only my private messages.
Original Problem
At the time of this original report I was attempting to follow up on tracking an abusive person communicating privately under with multiple usernames - so it was import to use search to search across all private messages for many keywords to track this users activity.
Temporary Solution
I ended up creating custom queries via the Data Explorer plugin to solve my problem.
Possible Future Feature Request
I can see that an admin having the ability to directly search “all private messages” including those they are not a part of as an important admin tool for specific cases.