Yes, by 'private' messages, it means that only the sender, the recipients, and those with access to the database (Vekseid and I) can read them.
Deleted posts are also saved. The same goes for moderator actions.
Obviously, there are too many to even think about reading them all. But if there is a problem of some kind I might look them up to see what really got said. Or if an unadmitted member is sending PMs to non-divinity types.