Actually, there's a similar warning in the Terms of Service. We caution people not to assume private messages will always remain private because, though it's our policy not to turn over PM's when demanded by subpoena, and nobody's asked for them, that's no guarantee we won't be forced to someday.
As far as the powers that be reading private messages, I'm the one most able to do that, since I'm always working directly with the database, and I don't do it. Actually, it wouldn't be easy, even when looking right at the database. Most messages just saw "<Long Text>" when you browse the list.
However, you should know that private messages that you "Remove" or "Submit/Arc" aren't really deleted. They are removed from your MailBox but go to your Archives, which you can always access.