I believe staff should be able to see PMs so they can see if somebody is subtly trying to advertise or break the rules in a way that they cannot be detected. I also have been recently spammed from this:
Staff reading your PMs wouldn't be necessary. You can simply report them using screenshots, as you're doing now. I'm sure this isn't the case very often, and staff being able to read your messages all the time could lead to privacy issues.