I mean tbh by nature, no.

It's a pseudononymous forum, so it's better than social media that requires identification or attempts to fingerprint users, as you can use an email and uname not linked to your identity, but you're still posting things publicly for all to read. Your DMs can likely be read by at least your instance's admins and likely the admins of servers you DM with, same for Mastodon.

If you're looking for true privacy, you want a Journal that you keep in a good safe. If you're communicating with others at all you're sacrificing some degree of privacy, letters can be steamed open or copied and forwarded by recipients, things told to someone in confidence can be remembered and repeated, even recorded.

I'd say that lemmy (or Masto etc) is good enough for things you wouldn't mind too much being leaked or that you'd say publicly anyway, but if you're say going to mail something to me and need my address, well you're gonna need to reach out to me here, we'll move to Delta chat, and exchange addresses there, but I'd never DM it here.