I consider FB chats to be much less private because they actually get stored on a server somewhere by default. Also I can access them anywhere with an internet account. Neither of these things are true of SMS.
AT&T cops to saving SMS messages, not just "pen trace" (sender/recipient data), for up to 72 hours. For "delivery purposes" only. Though the release I read doesn't specify to whom.
If I log in and click the Messages button I can see all my messages. To do that they have to be on their server. There isn't an off-the-record button I missed is there?
Ideally Facebook would use public-key encryption for chats and allow each user to individually save the history with their own passphrase they input encrypting it client-side.
But hey, auto-saving history without prompting you is worth it, right? (Also figuring out what to advertise to a user.)
It seems like you're describing something completely different from FB chat. anyway you could just encrypt the text, base64-encode it, and paste it into the chat box. still more convenient than email.