And this is one thing that people don't seem to understand about Lemmy et al. If you post messages (including DM's) on any one host, that message will be duplicated to any federated hosts. In most cases the only encryption would be in transit, so all it takes is for one of those hosts to be in a jurisdiction where the local authorities can seize the data, hackers can infiltrate poorly secured server, etc

If you are worried about the privacy/security of your data, it's not really any safer here then on Reddit or Facebook etc. It may be more resistant to corporate influence but at the same time a kind citizen running a node is less likely to have money to fight legal action and warrants.