You may be speaking legally in your final sentence but in natural language terms I'd say there is definitely an expectation of privacy in DMs to a named account; and it's not an unreasonable expectation.

If one DMs "Alex Murdo" then the expectation would be that they alone would read it, or their nominated person. If one DMs "Graphic Design" department then obviously that doesn't stand.

I'd expect contracts and such to contradict this natural expectation however.