I think this specific flow of creating a post and then receiving non-public replies back isn't normal on reddit or fb groups. I don't doubt it's possible!
You can for example create a subreddit where the rules are "post your worries and people will reply by DM" and moderate accordingly.
Super true! I'd argue the experience would probably be different in the context of reddit (like ads and it not being quite as streamlined), but your point is valid.