That said, I think it's naive and foolish to have an expectation of privacy on your work slack. Should you have privacy? Yes, absolutely. Do I expect it? No, not at all.
You probably shouldn't expect privacy in any workplace app, or even when connected to a company network, given how many companies route traffic through proxies that inspect packets for data exfiltration and who knows what else.
But I agree, don't expect any privacy on a company network, with a company machine, and/or on company-paid apps.
All that said, it's also not really true that "your boss" can read your private messages, in practice most of the time. Most companies that do this kind of data export just dump it to a warehouse and hold it for safe keeping just in case. Some random director of engineering probably couldn't get access to it unless they were willing to jump through a lot of hoops. Though, Slack's Discovery API does seem to make it easy to create user-friendly interfaces for searching through private messages. But I doubt a lot of companies are doing that.
[1] https://get.slack.help/hc/en-us/articles/204897248-Guide-to-...
I view it much like having a conversation in the hallway or by the watercooler. It would be creepy and weird, and unexpected, to have microphones and cameras all over the office so the boss can record your conversations and eavesdrop whenever they like.
It also screams micro-management if the boss needs to drop in, even if you are just using it "for the purpose of doing [your] job."
I tend to feel that if you trust your employees so little, then you should just fire them. Conversely if my employer trusted me so little, I should probably quit.
Where I would probably make an exception would be if one of the employees filed an HR complaint or something, then I think looking at the existing record would be fine. But, it should be limited in scope to that incident.
Just because using the ability to read private messages screams micro-management, it doesn't mean that it's not occasionally necessary to discover instances of harassment or abuse.
It has already been demonstrated that monitoring employee email to ensure that confidential information is not being shared is not consider proportionate (in a normal workplace), so I don't believe that monitoring direct messages in Slack would be lawful here.