That's a good operating assumption, and I usually think this way too.
It turns out Slack actually requires legal process or consent of parties to provide private messages to admins: https://slack.com/help/articles/204897248-Guide-to-Slack-imp...
But of course yes, another party could simply take a screenshot
They certainly can on Business and Enterprise plans. There’s some lip service to following employee policy and applicable laws, but if the policy allows (most do), and you’re in the US, the admins can do it.