We know everything you do. Where you go to work/school, where you live, what kind of food you like to eat, your favorite kinds of cheese, etc.
But really you shouldn't have asked this question about private messaging, since we weren't really bothering with it. Since it is called "private" messaging, it was being left that way. Of course, now that you pointed out that question, we're going to be checking on just your messages. Heh.