I felt similarly until I re-framed my expectations. I think of it as speaking in public -- even if I'm in a direct message with a single other user, I imagine it's like sitting next to them in a coffee shop. Probably nobody is listening to me speak, but I won't be surprised if I'm overheard by people. Not a perfect analogy but eh.

For hanging out with people and just having casual conversations I think it's fine. Don't say anything you want kept private. I do think it's unfortunate that people don't consider where their data is going or how it's used on a broader scale, but for those of us who use technology more intimately I think we can afford to make these sorts of decisions. I'm happy with the convenience and the interface and I'm okay knowing that the communications are likely going to end up in the hands of some big marketing company some day.