And we’re trying to sell you on personal responsibility.
Seriously, I don’t think anyone is uncomprehending to the benefits of privacy. They just don’t think that those benefits are worth protecting with a rule. It’s like, as you’ve brought up, sharing confidences with a friend in person. There isn’t a law which prevents us from repeating those confidences in public (aside from in very specific situations); what prevents us is entirely societal (and the fact that presumably we like our friend).
As with face-to-face contact, the onus isn’t on the powers-that-be to ensure your words are safe, but on your own estimation of the worth of those you choose to talk to. If your evaluation is wrong, then it’s your mistake. Besides, if we do give up our own determinations to others, then we can’t show our evaluations of worth to other people. If I shared with you something important under the current system, then you can be sure it’s because I consider you trustworthy. If there’s a rule to protect the contents of PMs, then you could be just a stranger for all the trust i’m putting in you. Would your sharing of information over PMs be as enjoyable for you if you could have no idea whether your contacts have any faith in your worth?