Even if weren't possible now, it may be possible in the future because Slack (in practice) owns and controls that data without any oversight from you. Anything you say might be deleted after a while, or might be held indefinitely.
Well... Yeah. I didn't intend to imply that it will never be a feature (it might already be in higher tiers), and I never intended to imply anything about Slack's data retention.
I was just stating that at the moment, at my tier, I am unable to see private messages.
Your employer can always change your password and then login as you to read your private messages. It leaves behind a trace (you've gotta reset your password afterwards, they can't restore your old one), but it's a "workaround".