Alex did read people's PMs on WP, so you definitely shouldn't have anything in your PMs you don't want him seeing. It wasn't just moderator's or admin's PMs that he read, either. He's there so seldom now that it seems strange to me that he would still take the time to read people's PMs now.
Yeah, I got the outside warning from a mod who said they'd put my name in for consideration, so I should be aware he might do that. If he wants to look through ancient history like nastygrams from Sins and QM and such, he can be my guest. Nothing ever came of it anyway, so I don't know if he ever went rummaging in there or anything.