They are saved in plaintext in the database but cannot be accessed by mods or admins unless reported (or having database access). For private communication you should use something like Matrix.
Not if we speak about admins in the context of Lemmy instances. I, for example, am admin at feddit.de. Yet only the owner has access to the VPS running the software and I am stuck with the options the Lemmy UI (or API) gives me.
Hook a fella up. Eli5 getting started on matrix. I can't convince anyone I know to use out if I don't know how myself, and I want to, but I'm busy figuring out lemmy lol.
Well, if you figured out Lemmy you are halfway done with Matrix ;-)
Matrix, like Lemmy or e-mail, is a federated communication protocol. It does not matter if you and your homie are on different servers since both speak the same language.
The first step is to choose a home server (for example from here), next you sign up there. Then you can start messaging right away. Just enter the name of your partner (which has the form @username:server.tld) and a new chat is opened.
The most common client for Matrix is called Element. There are apps for Android, iOS, Windows, macOS, Linux and Web.
Matrix is (nowadays by default) end-to-end-encrypted, so that really nobody can sniff your messages.
There are some difficulties here and there but overall it works quite reasonable!