The Corporation behind and the Admins of Twitter can see your “Private Messages”
The Corporation behind and the Admins of Facebook can see your “Private Messages.”
The Admins of Mastodon can see your Direct Messages. They aren’t private.
With Mastodon, you can spin up your own instance and be your own Admin.
Ultimately, don’t use any of these tools for actual private messages. Use Signal, Matrix/Riot or another end to end encrypted messaging tool.