If someone complains about a PM and uses the 'report message' then a copy of the message they are complaining about is sent to the moderators. (So that we can judge if there is a reason for a complaint).
It is then, and ONLY then, that the moderators get to see a PM which is the subject of a complaint.
Jan is under the impression we can browse them because we saw one which was the subject of a complaint. But that is the ONLY circumstance under which we can see them.
So if you don't want moderators to see your messages just don't send anything offensive which might be the subject of a complaint... simple!