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-...