whether a person is moderated or not they can access (receive, read and write/type, send) private messages. As far as I know the moderators do not moderate private messages.

that said there is a way to send the moderators copies of pm's at the same time as pm'ing someone if needed. just include the moderators name in the recipient user box along with the person you are private messaging. if you do that the private message goes to both the person you are messaging and the moderator(s) that you want to receive the message.

as a general rule some members including me here do save copies of private messages so that if a problem arises they can "forward" that message to the moderators if needed.