We have a very strict Slack retention policy, both DM's and messages in user created private channels self destruct in 7 days with no possibility of retrieval. Public channels and designated private channels can have a longer lifetime. And they really are gone, a VP tried to retrieve some 2 week old messages and was unable to.

So the only fear is someone in IT snooping your private channel during the week that the messages are alive -- probably less than the chance of the person you're talking about standing around the corner.