I honestly think reading PM's isn't a bad thing. I have that set on one of my forums, because it got to one point where users would join, spam via PM their site and leave. I DON'T look through each PM sent. I absically put a search in which checks for urls or any signs of them.

My TOS and Privacy statement also says, our admins ARE allowed to read your PM's and that by you signing up, are allowing us to check through your PM's.

As long as the admin keeps it between himself and the user, I think it's fine and not illegal. If you have a problem, read the Privacy statements always and if you don't like having your PM's read, then just don't register. Simple as that!