They are no more safe than sending a message like this :). Except you would be the only person it's targeted for.
besides the admins of both instances can read them as well.
Which is why I'm the web interface it says it's not safe/e2e encrypted.
Worried about it? Add a matrix handle to your profile and then it enables a "send a secure message" button in the UI. And redirects people to use matrix to send messages to you
Nothing on lemmy is private. Your instance is just hosted on a server, and in this instance that server is essentially just someone elses computer. Anything you do or say on the server can be viewed by the admin and whoever they decide to delegate access to.
This is true for practically every online service ever.