As has been mentioned up-thread, Conversations (PMs) are private to those included in the Conversation. They are invisible to the Mods and even to Shaun himself.
Even when a Conversation is Reported, Shaun and the Mods are unable to see what is being Reported, as, unless we are invited into the Conversation, we cannot see what is being Reported. Conversations remain private unless other Members are Invited in.
The principle that one should not write something in a Conversation that one wouldn't write on the open forum relates more to the manner of speech, offensive language etc than the confidential nature of the details being exchanged. As far as I am aware, Conversations are still the most secure way on CC to exchange phone numbers, bank details, email addresses etc., as they are not viewable by anyone else on the forum, while Profile posts are viewable by any member of the public who looks on CC.
The issue of how the information (phone numbers, emails etc.) contained within a Conversation is handled ... well that is a separate matter and maybe could be best handled by a request/ instruction/ caution in the first post of the Conversation, making clear the confidentiality expected.
HTH