I think that this is a classic grey area and I can see why XF wouldn't want to stoke the controversy by making it a native feature.
I think it's fine for admins (perhaps only a select few) to be able to read private conversations if it's stated at account registration that this happens on a routine and random basis to help with the running of the forum. In particular, it can be explained that it will be used to monitor conversations for illegal things / crimes like drugs dealing, stolen goods, or worse, especially if there's suspicion of wrongdoing. I can't see anyone objecting to that and will discourage this sort of behaviour.
I guess we'll just have to rely on third party add-ons for this functionality.